Block-Toeplitz/Hankel structured total least squares
A multivariate structured total least squares problem is considered, in which the extended data matrix is partitioned into blocks and each of the blocks is block-Toeplitz/Hankel structured, unstructured, or noise free. An equivalent optimization problem is derived and its properties are established....
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
2005.
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| Subjects: | |
| Online Access: | Get fulltext Get fulltext Get fulltext |
| Summary: | A multivariate structured total least squares problem is considered, in which the extended data matrix is partitioned into blocks and each of the blocks is block-Toeplitz/Hankel structured, unstructured, or noise free. An equivalent optimization problem is derived and its properties are established. The special structure of the equivalent problem enables to improve the computational efficiency of the numerical solution via local optimization methods. By exploiting the structure, the computational complexity of the algorithms per iteration is linear in the sample size. Application of the method for system identification and for model reduction is illustrated by simulation examples. |
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