The square-root overdetermined recursive instrumental variable algorithm

A square-root version of the overdetermined recursive instrumental variable (ORIV) algorithm is derived. This version improves the numerical stability of the algorithm, and avoids the problem of positive-definiteness of the inverse covariance matrix. The algorithm uses square-root arrays, and both o...

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Vydáno v:IEEE transactions on automatic control Ročník 34; číslo 6; s. 656 - 658
Hlavní autoři: Porat, B., Friedlander, B.
Médium: Journal Article
Jazyk:angličtina
Vydáno: New York, NY IEEE 01.06.1989
Institute of Electrical and Electronics Engineers
Témata:
Applied sciences
Array signal processing
Computer science; control theory; systems
Control theory. Systems
Covariance matrix
Equations
Exact sciences and technology
Instruments
Modelling and identification
Numerical stability
Parameter estimation
Resonance light scattering
Robustness
Signal processing algorithms
Spectral analysis
Parameter estimation
Dynamic system
Square root
Recursive method
Overdetermination
Mathematical method
Algorithm
Instrumental variable algorithm
Numerical stability
ISSN:0018-9286
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Shrnutí:A square-root version of the overdetermined recursive instrumental variable (ORIV) algorithm is derived. This version improves the numerical stability of the algorithm, and avoids the problem of positive-definiteness of the inverse covariance matrix. The algorithm uses square-root arrays, and both orthogonal and hyperbolic rotations, as necessitated by the nature of the ORIV algorithm.< >
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ISSN:0018-9286
DOI:10.1109/9.24243