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Data adaptive rank-shaping methods for solving least squares problems

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dc.contributor.authorScharf, Louis L., author
dc.contributor.authorThorpe, Anthony J., author
dc.contributor.authorIEEE, publisher
dc.date.accessioned2007-01-03T04:24:54Z
dc.date.available2007-01-03T04:24:54Z
dc.date.issued1995
dc.description.abstractThere are two types of problems in the theory of least squares signal processing: parameter estimation and signal extraction. Parameter estimation is called "inversion" and signal extraction is called "filtering." In this paper, we present a unified theory of rank shaping for solving overdetermined and underdetermined versions of these problems. We develop several data-dependent rank-shaping methods and evaluate their performance. Our key result is a data-adaptive Wiener filter that automatically adjusts its gains to accommodate realizations that are a priori unlikely. The adaptive filter dramatically outperforms the Wiener filter on atypical realizations and just slightly underperforms it on typical realizations. This is the most one can hope for in a data-adaptive filter.
dc.description.sponsorshipSupported by the Office of Naval Research, Mathematics Division, under contract No. N00014-89-J-1070 and by Bonneville Power Administration under Contract #DEBI7990BPO7346.
dc.format.mediumborn digital
dc.format.mediumarticles
dc.identifier.bibliographicCitationThorpe, Anthony J. and Louis L. Scharf, Data Adaptive Rank-Shaping Methods for Solving Least Squares Problems, IEEE Transactions on Signal Processing 43, no. 7 (July 1995): 1591-1601.
dc.identifier.urihttp://hdl.handle.net/10217/750
dc.languageEnglish
dc.language.isoeng
dc.publisherColorado State University. Libraries
dc.relation.ispartofFaculty Publications
dc.rights©1995 IEEE.
dc.rightsCopyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright.
dc.subjectfiltering theory
dc.subjectadaptive signal processing
dc.subjectadaptive filters
dc.subjectWiener filters
dc.subjectleast squares approximations
dc.subjectparameter estimation
dc.titleData adaptive rank-shaping methods for solving least squares problems
dc.typeText

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