Title :
Fast calculation of least-squares estimates for system identification
Author :
Schoukens, J. ; Rolain, Y. ; Gustafsson, E. ; Pintelon, R.
Author_Institution :
Dept. ELEC, Vrije Univ., Brussels, Belgium
Abstract :
In this paper an FFT based method is presented to speed-up the calculations of least-squares estimates of d unknown parameters from O(Nd2) to O(Nlog2N) (with N the number of data points) resulting in a significant reduction of the required computation time. The method can be applied to models/methods that are linear or nonlinear-in-the-parameters. Also the memory requirements are significantly reduced, without needing dedicated memory management techniques
Keywords :
computational complexity; fast Fourier transforms; identification; least squares approximations; FFT based method; least-squares estimates; linear methods; memory requirements; nonlinear-in-the-parameters methods; system identification; Colored noise; Covariance matrix; Discrete Fourier transforms; Discrete time systems; Frequency domain analysis; Jacobian matrices; Memory management; Polynomials; System identification; Transfer functions;
Conference_Titel :
Decision and Control, 1998. Proceedings of the 37th IEEE Conference on
Conference_Location :
Tampa, FL
Print_ISBN :
0-7803-4394-8
DOI :
10.1109/CDC.1998.758230
