Regularized calculation of estimates with singular variance matrices and constraints

MaRDI QIDQ1096578zbMATH OpenFDO

Authors V. I. Meleshko

Publication date 1986

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

ill-posed estimation problemsRegularized estimation algorithmssingular variance matrix

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Review text

Regularized estimation algorithms of the same type which are based on regularized Cholesky and Householder factorizations are proposed for two classes of ill-posed estimation problems with nonregular constraints in the form of equalities and inequalities, with a singular variance matrix. Bounds for the regularization parameter values are obtained that ensure stability of the algorithms.

Recommendations

• scientific article; zbMATH DE number 3982413
• Regularization and the General Gauss-Markov Linear Model
• Estimation of constrained parameters in a linear model with multiplicative and additive noise
• Regularization of linear regression problems
• scientific article; zbMATH DE number 1963470

Cited in

(2)

• Efficient estimation of regularization parameters via downsampling and the singular value expansion, downsampling regularization parameter estimation
• scientific article; zbMATH DE number 1963470 (Why is no real title available?)

This page was built for publication: Regularized calculation of estimates with singular variance matrices and constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1096578)