Least Squares Matrix Algorithm for State-Space Modelling of Dynamic Systems

• 作者: Hannu Olkkonen Juuso T. Olkkonen
• 来源期刊: 信号与信息处理(英文)
• 学科: 数学
• 关键词: STATE-SPACE MODELLING DYNAMIC SYSTEM Analysis EEG
• 年，卷（期）: 2011,（4）
• 页码范围: 287-291
• 页数: 5页
• 分类号: O1

摘要

This work presents a novel least squares matrix algorithm (LSM) for the analysis of rapidly changing systems using state-space modelling. The LSM algorithm is based on the Hankel structured data matrix representation. The state transition matrix is updated without the use of any forgetting function. This yields a robust estimation of model parameters in the presence of noise. The computational complexity of the LSM algorithm is comparable to the speed of the conventional recursive least squares (RLS) algorithm. The knowledge of the state transition matrix enables feasible numerical operators such as interpolation, fractional differentiation and integration. The usefulness of the LSM algorithm was proved in the analysis of the neuroelectric signal waveforms.