Title :
Recursive matrix inversion for application to system identification
Author :
Claassen, J.G. ; Thompson, Wiley
Author_Institution :
New Mexico State University, Las Cruces, New Mexico
Abstract :
A unified approach to the derivation of relationships for recursive inversion of several important types of matrices is presented, using a general recursive algorithm based on partitioning. Algorithms for symmetric and symmetric Toeplitz matrices are developed using a common "??-formulation" method which show the underlying relationship between methods. Toeplitz matrices are frequently encountered in time series modeling, and the new method for the recursive inversion of these matrices provides considerable savings in computer time and storage.
Keywords :
Application software; Correlation; Equations; Filtering; Least squares approximation; Mathematical model; Parameter estimation; Partitioning algorithms; Symmetric matrices; System identification;
Conference_Titel :
Decision and Control including the 16th Symposium on Adaptive Processes and A Special Symposium on Fuzzy Set Theory and Applications, 1977 IEEE Conference on
Conference_Location :
New Orleans, LA, USA
DOI :
10.1109/CDC.1977.271741
