On the Hankel-norm approximation of linear stochastic systems (Q802519)
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scientific article; zbMATH DE number 3891233
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| English | On the Hankel-norm approximation of linear stochastic systems |
scientific article; zbMATH DE number 3891233 |
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On the Hankel-norm approximation of linear stochastic systems (English)
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1985
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Ordering and interlocking properties for the singular values of the block-Hankel matrices corresponding to different spectral factors of a given spectral density matrix are applied to Hankel-norm approximation of SISO stochastic systems. In this way it may be shown that the minimum phase model may be approximated by systems of a certain dimension with better accuracy than any other model with the same output process. Upper bounds on the gain in accuracy are given.
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linear stochastic systems
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block-Hankel matrices
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spectral factors
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Hankel-norm approximation
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0.8383305668830872
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0.8033681511878967
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0.8014300465583801
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