Interpretation and solution of ill-conditioned equations arising in parameter estimation and system identification

DOI10.1016/0895-7177(90)90177-OMaRDI QIDQ809038zbMATH OpenOpenAlexFDO

Authors Irving U. Ojalvo

Publication date 1990

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0895-7177(90)90177-o

zbMATH Keywords

Epsilon Decompositionill-conditioned linear algebraic equationsnumerical exampleSingular Value Decomposition

Mathematics Subject Classification ID

Direct numerical methods for linear systems and matrix inversion (65F05) System identification (93B30)

Review text

A new method, named Epsilon Decomposition (E-D), for the efficient solution of ill-conditioned linear algebraic equations is presented. It represents a significant improvement over Singular Value Decomposition (SVD), which requires the user to obtain all the eigenvalues and eigenvectors of all ill-conditioned matrix. This can be quite costly if the matrix is large. The efficiency associated with E-D resides in the fact that the user need only obtain the zero, near-zero and the lowest non-zero eigenvalues of the coefficient matrix of the system of equations. The equivalence of E-D and SVD is based upon the fact that E-D produces a very small, \(\epsilon\), shift in the non-zero and near-zero eigenvalues without any need to compute them. The mathematical interpretation of the E-D and SVD solutions is that they produce the same minimum norm solutions. A numerical example is presented in detail.

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Cites work

• Four algorithms for the the efficient computation of truncated pivoted QR approximations to a sparse matrix

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(4)

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