Fast calculation of least-squares estimates for system identification

In this paper an FFT based method is presented to speed-up the calculations of least-squares estimates of d unknown parameters from O(Nd/sup 2/) to O(Nlog/sub 2/N) (with N the number of data points) resulting in a significant reduction of the required computation time. The method can be applied to m...

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Bibliographic Details
Published inProceedings of the 37th IEEE Conference on Decision and Control (Cat. No.98CH36171) Vol. 3; pp. 3408 - 3410 vol.3
Main Authors Schoukens, J., Rolain, Y., Gustafsson, F., Pintelon, R.
Format Conference Proceeding
LanguageEnglish
Published IEEE 1998
Subjects
Colored noise
Covariance matrix
Discrete Fourier transforms
Discrete time systems
Frequency domain analysis
Jacobian matrices
Memory management
Polynomials
System identification
Transfer functions
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ISBN9780780343948
0780343948
ISSN0191-2216
DOI10.1109/CDC.1998.758230

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Summary:In this paper an FFT based method is presented to speed-up the calculations of least-squares estimates of d unknown parameters from O(Nd/sup 2/) to O(Nlog/sub 2/N) (with N the number of data points) resulting in a significant reduction of the required computation time. The method can be applied to models/methods that are linear or nonlinear-in-the-parameters. Also the memory requirements are significantly reduced, without needing dedicated memory management techniques.
ISBN:9780780343948
0780343948
ISSN:0191-2216
DOI:10.1109/CDC.1998.758230