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research article

Generalized Chandrasekhar recursions from the generalized Schur algorithm

Sayed, Ali H.  
•
Kailath, Thomas
•
Lev-Ari, Hanoch
1994
IEEE Transactions on Automatic Control

Presents a new approach to the Chandrasekhar recursions and some generalizations thereof. The derivation uses the generalized Schur recursions, which are O(N/sup 2/) recursions for the triangular factorization of N/spl times/N matrices having a certain Toeplitz-like displacement structure. It is shown that when the extra structure provided by an underlying state-space model is properly incorporated into the generalized Schur algorithm, it reduces to the Chandrasekhar recursions, which are O(Nn/sup 2/) recursions for estimating the n-dimensional state of a time-invariant (or constant-parameter) system from N measured outputs. It is further noted that the generalized Schur algorithm factors more general structured matrices, and this fact is readily used to extend the Chandrasekhar recursions to a class of time-variant state-space models, special cases of which often arise in adaptive filtering.

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Type
research article
DOI
10.1109/9.333773
Author(s)
Sayed, Ali H.  
Kailath, Thomas
Lev-Ari, Hanoch
Date Issued

1994

Publisher

IEEE

Published in
IEEE Transactions on Automatic Control
Volume

39

Issue

11

Start page

2265

End page

2269

Editorial or Peer reviewed

REVIEWED

Written at

OTHER

EPFL units
ASL  
Available on Infoscience
December 19, 2017
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/143002
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