2014
DOI: 10.1109/tsp.2014.2350959
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A Recursive Restricted Total Least-Squares Algorithm

Abstract: Abstract-We show that the generalized total least squares (GTLS) problem with a singular noise covariance matrix is equivalent to the restricted total least squares (RTLS) problem and propose a recursive method for its numerical solution. The method is based on the generalized inverse iteration. The estimation error covariance matrix and the estimated augmented correction are also characterized and computed recursively. The algorithm is cheap to compute and is suitable for online implementation. Simulation res… Show more

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Cited by 44 publications
(13 citation statements)
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References 23 publications
(30 reference statements)
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“…where V Wy ∈ R b and V yy ∈ R . Following [4,56], the covariance Σ TLS of the TLS estimatê β TLS can be approximated as…”
Section: Total Least-squares (Idim-tls)mentioning
confidence: 99%
See 1 more Smart Citation
“…where V Wy ∈ R b and V yy ∈ R . Following [4,56], the covariance Σ TLS of the TLS estimatê β TLS can be approximated as…”
Section: Total Least-squares (Idim-tls)mentioning
confidence: 99%
“…Conversely, ref. [20] proposed reformulating IDIM-LS under physicality constraints in a Semi-Definite Programming (SDP) perspective, writing (56) in the form of a Linear Matrix inequality (LMI). Provided that the reference frame L j of link j and its CoM frame C j have the same orientation, I j can indeed be related to the inertia tensor L j expressed in L j , using the Huygens-Steiner theorem…”
Section: Enforcing Physical Consistency Within Inertial Parameter Identification 71 Mathematical Formulation Of the Physical Consistency mentioning
confidence: 99%
“…For the signal processing community, TLS emerges as the main tool for estimation in linear systems with imperfect knowledge of the input signals, which justifies several recent research efforts related to the TLS method [18][19][20][21]. However, the original formulation of the TLS method is based on the following model…”
Section: Total Least Squares (Tls)mentioning
confidence: 99%
“…18,19 And TLS method is tightly related to the maximum likelihood principal component analysis method introduced in chemometrics by Schuermans et al 20 However, the variable errors of measurement data are usually in an asymmetric way in practice. The generalized total least squares (GTLS) method 21,22 with noise covariance matrix can be regarded as a restricted total least squares (RTLS) method for dealing with the data, which are measured with unequal precision and contaminated with uncorrelated errors. However, an implementation for this approach seems challenging in practice.…”
Section: Introductionmentioning
confidence: 99%