A Fast Algorithm for Errors-in-Variables Filtering

Author

Diversi, Roberto

Author_Institution

Dept. of Electron., Comput. Sci. & Syst., Univ. of Bologna, Bologna, Italy

Volume

57

Issue

5

fYear

2012

fDate

5/1/2012 12:00:00 AM

Firstpage

1303

Lastpage

1309

Abstract

This note concerns the optimal estimation of the input and output sequences of linear time-invariant errors-in-variables (EIV) processes. An efficient recursive filtering algorithm is proposed. It is an innovation-based approach that relies on the triangular decomposition of block Toeplitz matrices. Unlike the other algorithms described in the literature, the proposed one is characterized by a computational complexity which increases only linearly with the order of the process. Both the SISO and MIMO cases are analyzed. An extension of the described algorithm to EIV models with colored input and output noises is considered as well.

Keywords

computational complexity; matrix algebra; recursive filters; MIMO; SISO; block Toeplitz matrix; computational complexity; errors-in-variables filtering; innovation-based approach; linear time-invariant errors-in-variables process; recursive filtering algorithm; triangular decomposition; Computational complexity; Computational modeling; MIMO; Mathematical model; Monte Carlo methods; Noise; Technological innovation; Errors-in-variables (EIV) models; linear filtering; optimal filtering; recursive filtering;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/TAC.2011.2173423

Filename

6060859