Time-variant structured matrices: an application to instrumental variable methods

Ali H. Sayed

doi:10.1117/12.190863

28 October 1994 Time-variant structured matrices: an application to instrumental variable methods

Ali H. Sayed

Proceedings Volume 2296, Advanced Signal Processing: Algorithms, Architectures, and Implementations V; (1994) https://doi.org/10.1117/12.190863
Event: SPIE's 1994 International Symposium on Optics, Imaging, and Instrumentation, 1994, San Diego, CA, United States

Abstract

We derive a recursive algorithm for the time-update of the triangular factors of non-Hermitian time-variant matrices with structure. These are matrices that undergo low-rank modifications as time progresses. special cases of which often arise in adaptive filtering and instrumental variable (IV) methods. A natural implementation of the algorithm is via two coupled triangular arrays of processing elements. We consider, in particular, an IV parameter estimation problem and show how the arrays collapse to a coupled parallelizable solution of the identification problem.

Citation Download Citation

Ali H. Sayed "Time-variant structured matrices: an application to instrumental variable methods", Proc. SPIE 2296, Advanced Signal Processing: Algorithms, Architectures, and Implementations V, (28 October 1994); https://doi.org/10.1117/12.190863

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