Generalized least squares innovation representation

DOI10.1016/0898-1221(88)90157-5MaRDI QIDQ1108255zbMATH OpenOpenAlexFDO

Authors István Bencsik, György Michaletzky

Publication date 1988

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0898-1221(88)90157-5

zbMATH Keywords

finite dimensional discrete-time stochastic systemsgeneralized least squares algorithmHankel matrixinnovation representationRiccati equationsstochastic realization

Mathematics Subject Classification ID

Matrix equations and identities (15A24) Hermitian, skew-Hermitian, and related matrices (15B57) Stationary stochastic processes (60G10) Realizations from input-output data (93B15) Discrete-time control/observation systems (93C55) Identification in stochastic control theory (93E12)

Review text

The paper gives a unified approach to the stochastic realization problem of finite dimensional discrete-time stochastic systems. If y(t)\(\in R\) m is a discrete weakly stationary stochastic process, then using different bases in the spaces of its future - generated by y(0), y(1),... and its past - generated by y(-1), y(-2),... - we can define different algorithms for the matrices in its innovation representation. The essence of these algorithms is: (i) compose a Hankel matrix based on the covariances of some random variables generating the future and the past, respectively; (ii) factor the elements of this Hankel-matrix using the Ho-Kalman algorithm; (iii) using some Riccati equations to obtain the required matrices. Using the unnormalized forward and backward innovations of y(t) as bases in the future and the past we get Faurre's algorithm, using normalized innovations we get the Desai-Pal algorithm, using unnormalized innovations in the future space and normalized innovations in the past space we get the algorithm which is discussed in the paper and called GLS IR algorithm.

Recommendations

• A stochastic realization algorithm via block LQ decomposition in Hilbert space
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Cites work

• All optimal Hankel-norm approximations of linear multivariable systems and theirL,^∞-error bounds†
• scientific article; zbMATH DE number 3365976 (Why is no real title available?)
• Identification of errors-in-variables models with Faurre type realization algorithms
• Markovian Representation of Stochastic Processes by Canonical Variables

Cited in

(1)

• Identification of errors-in-variables models with Faurre type realization algorithms

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