DocumentCode :
1558521
Title :
Banded matrix fraction representation of triangular input normal pairs
Author :
Mullhaupt, Andrew P. ; Riedel, Kurt S.
Author_Institution :
S.A.C. Capital Manage., New York, NY, USA
Volume :
46
Issue :
12
fYear :
2001
fDate :
12/1/2001 12:00:00 AM
Firstpage :
2018
Lastpage :
2022
Abstract :
An input pair (A, B) is triangular input normal if and only if A is triangular and AA* + BB* = In, where In is the identity matrix. Input normal pairs generate an orthonormal basis for the impulse response. Every input pair may be transformed to a triangular input normal pair. A new system representation is given: (A, B) is triangular normal and A is a matrix fraction, A = M-1 N, where M and N are triangular matrices of low bandwidth. For single input pairs, M and N are bidiagonal and an explicit parameterization is given in terms of the eigenvalues of A. This band fraction structure allows for fast updates of state space systems and fast system identification. When A has only real eigenvalues, one state advance requires 3n multiplications for the single input case
Keywords :
identification; state-space methods; eigenvalues; identification; identity matrix; impulse response; input pair; orthonormal representations; state space; state space systems; system identification; system representations; Bandwidth; Covariance matrix; Eigenvalues and eigenfunctions; Filters; Least squares methods; Robustness; State-space methods; System identification; Tin; Transfer functions;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/9.975512
Filename :
975512
Link To Document :
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