Generalized Chandrasekhar recursions from the generalized Schur algorithm
- 1 January 1994
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 39 (11) , 2265-2269
- https://doi.org/10.1109/9.333773
Abstract
We present a new approach to the Chandrasekhar recursionsand some generalizations thereof. The derivation uses thegeneralized Schur recursions, which are O(N2) recursions forthe triangular factorization of N \Theta N matrices having a certainToeplitz-like displacement structure. It is shown thatwhen the extra structure provided by an underlying statespacemodel is properly incorporated into the generalizedSchur algorithm, it reduces to the Chandrasekhar recursions,which are O(Nn2...Keywords
This publication has 19 references indexed in Scilit:
- Extended Chandrasekhar recursionsIEEE Transactions on Automatic Control, 1994
- Lattice filter parameterization and modeling of nonstationary processesIEEE Transactions on Information Theory, 1984
- On a generalized Szegö- Levinson realization algorithm for optimal linear predictors based on a network synthesis approachIEEE Transactions on Circuits and Systems, 1978
- Extended Levinson and Chandrasekhar equations for general discrete-time linear estimation problemsIEEE Transactions on Automatic Control, 1978
- Some reduced-order non-Riccati equations for linear least-squares estimation : the stationary, single-output case†International Journal of Control, 1976
- Square-root algorithms for least-squares estimationIEEE Transactions on Automatic Control, 1975
- Some new algorithms for recursive estimation in constant, linear, discrete-time systemsIEEE Transactions on Automatic Control, 1974
- Some new algorithms for recursive estimation in constant linear systemsIEEE Transactions on Information Theory, 1973
- A New Approach to Linear Filtering and Prediction ProblemsJournal of Basic Engineering, 1960
- Über Potenzreihen, die im Innern des Einheitskreises beschränkt sind.Journal für die reine und angewandte Mathematik (Crelles Journal), 1917