A Decomposition Method for Positive Semidefinite Matrices and Its Application to Recursive Parameter Estimation

DOI10.1137/S0895479899364027zbMath0983.15003OpenAlexW2004164919MaRDI QIDQ2706309

Cao, Liyu, Howard M. Schwartz

Publication date: 19 March 2001

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0895479899364027

zbMATH Keywords

least squares methodpositive semidefinite matricesmatrix decompositionrecursive estimationrank additivityparameter estimation algorithm

Mathematics Subject Classification ID

Point estimation (62F10) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Least squares and related methods for stochastic control systems (93E24) Identification in stochastic control theory (93E12) Vector spaces, linear dependence, rank, lineability (15A03)

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Analysis of the Kalman filter based estimation algorithm: An orthogonal decomposition approach.

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