矩阵上三角化的递推Householder变换公式及其应用
A Recursive Householder Transformation Formula and its Applications
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摘要: 本文给出利用Householder变换对矩阵进行上三角化的按列递推公式.该公式用于差 分、多项式、AR、ARMA、CARMA等模型的结构和参数辨识时,可大大减少计算量,提高算法 的实用性.
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关键词:
- 系统辨识 /
- 建模 /
- 阶次估计 /
- Householder变换
Abstract: A recursive Householder formula for transforming high rectangular matrices into upper triangular matrices column by column is proposed, The formula can be used to simultaneously estimate the orders and parameters of polynomial models, difference models, AR models, ARMA models, CARMA models and so on. Since the orders can be estimated in passing by our formula, the computation time for estimating both orders and parameters is only slightly more than that for just estimating the parameters of the model with known orders.-
Key words:
- System identification /
- modeling /
- order estimation /
- Householder transformation
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