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Statistics > Methodology

Title: Orthogonal Representations for Output System Pairs

Abstract: A new class of canonical forms is given proposed in which $(A, C)$ is in Hessenberg observer or Schur form and output normal: $\bf{I} - A^*A =C^*C$. Here, $C$ is the $d \times n$ measurement matrix and $A$ is the advance matrix. The $(C, A)$ stack is expressed as the product of $n$ orthogonal matrices, each of which depends on $d$ parameters. State updates require only ${\cal O}(nd)$ operations and derivatives of the system with respect to the parameters are fast and convenient to compute. Restrictions are given such that these models are generically identifiable. Since the observability Grammian is the identity matrix, system identification is better conditioned than other classes of models with fast updates.
Comments: Work done in 200. Minor Revision 2001
Subjects: Methodology (stat.ME)
Cite as: arXiv:1803.06571 [stat.ME]
  (or arXiv:1803.06571v1 [stat.ME] for this version)

Submission history

From: Kurt Riedel [view email]
[v1] Sat, 17 Mar 2018 21:19:27 GMT (21kb)