scientific article; zbMATH DE number 17463

MaRDI QIDQ3974783zbMATH OpenFDO

Authors Michel Verhaegen

Publication date 26 June 1992

zbMATH Keywords

normal equationspositive definitenessrecursive least squares method

Mathematics Subject Classification ID

Numerical solutions to overdetermined systems, pseudoinverses (65F20)

Review text

[For the entire collection see Zbl 0728.00018.] The author extends a well known result in numerical analysis for the normal equations to the recursive least squares method. This clarifies the author's theoretical explanation [Automatica 25, No. 3, 437-444 (1989; Zbl 0684.93094)] about the loss of positiveness definiteness in the conventional schemes. It is shown that to preserve definite symmetry should be preserved and numerical singularity be introduced.

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• Round-off error propagation in four generally-applicable, recursive, least-squares estimation schemes

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