We derive ordering and interlocking properties for the singular values of the block-Hankel matrices corresponding to different spectral factors of a given spectral density matrix. The results are then applied to Hankel-norm approximation of SISO stochastic systems. In particular we show that the minimum phase model may be approximated in Hankel norm by systems of a certain prescribed dimension with better accuracy than any other model with the same output process. We also provide upper bounds on the gain in accuracy obtained by choosing the minimum phase model over some other model.
On the Hankel-norm approximation of linear stochastic systems
A Gombani;
1985
Abstract
We derive ordering and interlocking properties for the singular values of the block-Hankel matrices corresponding to different spectral factors of a given spectral density matrix. The results are then applied to Hankel-norm approximation of SISO stochastic systems. In particular we show that the minimum phase model may be approximated in Hankel norm by systems of a certain prescribed dimension with better accuracy than any other model with the same output process. We also provide upper bounds on the gain in accuracy obtained by choosing the minimum phase model over some other model.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
