High-performance numerical algorithms and software for structured total least squares

Authors:
Ivan Markovsky;Sabine Van Huffel
Affiliations:
K.U.Leuven, ESAT-SCD, Kasteelpark Arenberg 10, B-3001 Leuven-Heverlee, Belgium;K.U.Leuven, ESAT-SCD, Kasteelpark Arenberg 10, B-3001 Leuven-Heverlee, Belgium
Venue:
Journal of Computational and Applied Mathematics
Year:
2005

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Abstract

We present a software package for structured total least-squares approximation problems. The allowed structures in the data matrix are block-Toeplitz, block-Hankel, unstructured, and exact. Combination of blocks with these structures can be specified. The computational complexity of the algorithms is O(m), where m is the sample size. We show simulation examples with different approximation problems. Application of the method for multivariable system identification is illustrated on examples from the database for identification of systems DAISY.