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n

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(1.1.3)

(5) ~1li21:§ti:~f.Iii~f{ [9J

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(1.1.5)

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(1.1.6)

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(1.1.7)

·3·

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x{k - 1)

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i=1

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== d( k) - wT X :::: d( k) - xT W

... \ +, W = [WI" .. , W,,]T, 11 X = [x(I),···, x(n)jT. ~ m;l1j1J1!R:~ E{(2(k)} = E{d2(k)} - 2E{d(k)xT}w + wTE{xx7'}w

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(1.1.8)

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(1.1.9)

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(1.1.10)

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(1.1.11)

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(1.1.12)

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f~~~ ~~(J{Jfknui JE~"f~P:,

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4) ~x, y) = \Y, x)

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(1.1.13)

i=o1

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r*J {Rtf] -~:I:-~'11J~ tl,_& Wi 1- f~:!Ii ZIB] rf.J "1t jB" fO iE;ctt:fff Ii f!j~ 1i1;i rp it WI ii

(1.1.14)

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Jlt a<t, :f.U·HR.i3 r!Um~I{Htl,IIJ -1-~ InJ JIt z E n= B1 Euclidean tell,

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1.2.1 iaJ.m:Ji

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la) ilxll = 0, ~_§_ {Z ~ x = 0

(_:j~ ffi. tt) (lEtt)

·7·

2) ilexll = iclllxll, X1pJdf~!Ui c E F I£-~'L ,1) Ilx + yll ::; II x II + !IYII

(iHxti=.)

( =: ifJ'f:': ~!!ht)

l_ J£ 0l11!;Ito:if JIfi 1:. ttJ Euclidean * ~ tB ~A .'Ill '~1 J1l1. rm)l ~~ lffi 1), 2), 3), 1E!::f - k ~ Ji. >; jll! la) i¥J ffi 1&;1$:1J rtJ it * ttL ~.

Tjffi" ~JL~ m"JfJ (fJ toJ :I:~f(.

(1) L1 m~ en l:_1¥J:fllttL~ (Wi: L1 m:l!l) iE5l..:1J

(1.2.1)

1- ;£1[1&~-1It-t£~4 1 ffi~.

(2) L2 m~ ~ x = [xl,"', ;c,JI" E C", lQlJ I[D.til: x ff) Euclidean &~ (!lit i., ~1&) i-C H' I! .r lb *;:E s. J9

(1.2.2)

E:,;;:}~ '-1-.Q::kI A ftJ.&r+t 9aHI~ (0] BtlrU&;E SC !?5!1) Ilx ._" Yllz 1tflt I~J it x, y E C"iI13·~.Q x, y 2- rm O<J fffi~ Euclidean BE ~.

i1£:tt£ 11·11 ~:1J ~fj:;r;~!'f.l. ~ IIUxl1 = ilxlj :x1JiJTfflnJit x E cr .fuf:Jf1H!L~eWi' U E o=:

$~ 1.2.1 Il] Euclidean ml2: I~ '11z ;l!@/F1ei¥J.

(3) L oo 1i1lt cr. .l; t81& :*: ¥!'uttl!: (~:f?j\ L 00 tr! ~, X: JH1Lf&:) 'IE _)I___ 1)

(1.2.3a)

( " ) l/p

Ilxllp'--""" ~i:l'iIP ,

T. /' Hi r£ ill Jl4 Holder ttL m: 114.J. j!;I Jit, 1C?i m: $: ili.AE 5l.. X)

(1.2.4)

(1.2.3b)

Lyapunov 1l~ $H::?ttJTfIlf'AJ m:rttt'Hl ~f-tl;tl1Q$J-*~1ftJ»tJjJ (f{JIMZ -.

~!l 1.2.1 (Lyapunov ~JE11fEJI!l ~X11rf~.¥#t x = f(x) nt~~*tJE xl;:+\ = /Ltd ffff. -1- fH IY: V{x) yt. fl :>j41tJ,'#' x = 0, _fi V tE~1- R" I*J #ijM 5kf'!:,

1) V Ho lE ;;:t: ;frrf~ it] 7C !f\!- ~ ~ •

2) xt x oi 0

DV }. V(x(t+.1t))-V(x(t)) 0 (l.-5:_:{p.",<:~)

= un sup L\t < tt '" 'J"'l"JL

.;l,t ..... O

. t\.

~!IJ -'f 1tr B x = 0 ~:i:,ffij i$fili~J.E J¥J. ~~.x~n~~~~, ~~ffl~.&~

V(x) = IIWxl1

ft:;.i:J!ll 1.2,1 r:pQ/jii15jil& V(x),;!{r:p HI = [~1)1 •.. w"l JiI: 111 X n j€1l$, l:L m ~ n frl rank(lV) = n.

t.; 1fL~ (Holder 1[1&) f~JJ!tT·-~t_;Y5'tI¥J(.iJi:1'[il&, ;ltr:r l':nclidp.an Wifl.

(1 ') ~',

.~ .. _}!

( ) t!p

V(x) = IIWxll'X) = lim LlwTxlP =max{wTx}

P-HX> l

i

(1.2.6)

llJ{$ Lyapunov i'ij ~ ft:t-!f ~IJ"i.: ~ WJ.

~J.l1.2.2 [15] ERifl V(x) = IIWxl! (1{:lf-1 w ~ m x n :W:Wf:, 1i rankW = n) :li!:ffifJE .i· = Ax (J{J Lyapunov ru1&, ~1l&~:W~ w ;lid£Ii$1:f~

W.4-QW =0

{1.2.7)

J1-(Q) < 0

(1.2.8)

)1(Q) = lim iiI + .1tQ11 - 1

.1t--->O+ Llt

(1.2,9 )

11 ( Q) 1r B1 ~ j{J Q I¥.l toH&: X{! wncr::fl [Hi]. l:£ tf:, J.J fl ~ Il$ 111 flllT ~ .:ll ff.I. ~, 5! - p, ';t: ~f; .1 __ lj ~ il$ WI. rt 'w ffi. IN ,t1E.t,j1j it ~.

ftu * pfi ~ (1.2.5) M: Lyapunov iB tt, ~~ J,. '8 l¥J ->f 1:f

n

V(x) = IIWxll~ = ~)wr X)2 = XTWTWx

i=l

(1.2.10)

(1.2.11)

ATR+ RA =-Q

(1.2.12)

0'- iii;. Q > 0, RP ;r-fX.---i'[[ It Nt fiI\ j,'E~. Q.

~-1JIIfi, !t.tJ. 1.2.2 ~IlJL A (1.2.5) )J:'_)(Q/Ji'1H&~ Lyapunov i>Eilt, Amfmlt (1.2.10) t£~~ Lyapunov Wif'l, ~_fitz4~Il$1.r:flij:_t (1.2.7) 1":'t-1-7W1JE*,#~ (1.2.8) (!{]mll$ Q-

·9·

i3: Wt iXF.Ilj:j T, Ji ~- Jkf1' Q > 0 l¥J Lyapunov :1J,f£ ~ J!.# ~# ~ (1. 2.8) Er'.l1il:! Il$IJf'J! it (1.2.7) =~~~. ~F~~, ~~mFOO~~M*~~=#~~~tt.

~:II 1.2.3 T rm Wif 1'-1M tt ~lfr,

(1.2.13)

L'l = {R E R"xnIR= WTW, }VA - Qll' = 0, Jtc:p 1-L2(Q) < 0, rank W = n}

(1.2.14 )

1.2.3 ~E Y>$m ~

Af rrf# *rr~ Il$ 91 *~gfl: AB, 1J;!M:JtJ1:. AB tfJ "* -l-" -!~ A, B t- r=! I¥J ":k:+" Z. 1'8J rtJ _k * 1ft 1;t )811- J-§ tfJ . ~ M' A E em »: n 4>:!i ).! -1- mn r!E iJ<] [til m: ::'i:' fHl Jj;: -lJ ~ 1t ~~ ;JJ;; 11'J oJ 0.;fU m IT Gwn I¥J {f 1iif iul i!: 1[ h * 1!1. .Jl- -t ~ ~!¥J "): -t-" .

~)t 1.2.2 ft{(J¥i\ffi ~ II· II 1J:*p.[l!H'[!ij:, EX<J ffr~WWF A, BE c=», i£W:H&ntn JE Crfn*z~JJ,

1) IIAII ~ 0 (1~fftt£)

lal IIAII = 0, ~_§_fl.§ A = 0 (lEyt)

2) IlcAI! = lei IIAII, X<J FIr 1f ~ It c E F JiIt_l[ (1r 1'Xttl

:~) IIA + BII $IIAII + IIBII (:::=.Jfl7G~Jt)

4) IIABII < IIAIIIIBII OJ\~tt)

fRHJ::lliiL ~!I$m:~tni~Ji 1)"-'3) ~JOJI:1"'U&fI';]0:@ 1)",3) 1fI\nJ. TllOE!:JL#lItJ:l:JI¥J 1Q~m:1&.

(1) .m:A: 9~*f.UtE:il$1\nl A E C"'Y" I¥J 1'& A YIJ:Rt1-H1L ~~X JJ

(1.2.15)

(2) Frobenius 1t1.tI ~Il$ A E emxn tf.1 Frobenius~~.!llt L2 m:fnE)(1J

IIAilF = 11.4112 = L.L laijl2

i,.,-1 j=-l

(1.2.16)

;.z_ -1{i 1I*-711~"*l 111m ~~ Euclidean m fi, Schur 711 fi: DX Hilbert-Schmidt lrH&. 1'1:B, ;tf r1,~ jaj , •. an] E cmxn, I.J.!IJ~I4jf(J Frobenius fftfiIiJJ;JJIH::;fflJIJIhJat" ai E em (jI] L;. mit 'T} flO

( 1.2.17)

1fp ~ 1.2. 2 ~ 2 tE em x n .L e<J Frob eni us l"EJ& ~ L2 7UJ& Rd-N /f~ :1e rE!:W Me 1iB&.

liE ~ !1J aTr ~ L 2.1, :&: R fF en .I. rrtJ t., rtJ~d8:rt Jl:: t5 /f~ 5t rrtJ. fA ~J., ;& 1r'Hf ~ .£ 4} ~~:

IIV All; = ilU aJ il~ + ... + IIU a,..lI~ = Ila111~ + ... + IlaTIII~ = !IAII~, V.@"~ ~U R-!fxtJiJf~· BE cnxn iI;fj· IIBHII2 = !iB\b JifrUTIf±i U, V E Cnx7' ;!1plifUi$ul, tnfiIIU AVI!2 = IIAVl12 = IjVH AHljz = IlAHI12 = IIAI12

. 10 '

~ J1t, j£ JetE en x 11 rfJ L2 m: {l ~ iW ;;r; ~ ffl. (3) t., ~!l$mfl 1!!1l$91 t., 1I'ifitH

•

p21

(1.2.18)

Ji'Sl..

(4) tJ1*n*frH~~m~ ~Ilt A tfJfJi*n*ftlm:ltYEXJ9

(l.2.19)

IIAII = max la·1

00 l::;i:S;m,l ::;j:5n '1

;,-; -Jto - ftPm!l$m::f(. {flail X1"T~ Il$ J = [~ n, El:Iit. m, J2 = 2J, PII = 1, mf II J2 [i = ilVl1 = 211J11 = 2, /FlIW II IIJ211 < IIJI12, ~p T-t"L@?:X *ft ~ l]Il, t&: B:;F R: - «' te wni1 Ut. 1.2.4 Hankel .-rft(J5J?:J&

rr~~~~.~W~~, ~~m~~*~~~~~~~m~~, ~tt*~~~~W ~*m, WR~ffi~.~m~~*~~.ili~ili~~.~?~~ma~~~~~-~ #J.

<? h" = C A k--lb, k = 1,2,· "" :l~Vj~ ¥ t1f I¥J Markov ~:tr.£. -1"- ¥ ~ BiJ Hankel. or-m l;J. ~ s. Wfr;

1) tE.1t B>t lEi] tN 1.7? -F, Hankel • T J9 ::t ~ \lit Hankel ~ ~

r hI h2 h3 "'"J

h'}. h3 h "."

H- 4

-l~3 ~4 ~5 •••

" " -

( 1.2.20)

(AT Hankel m~, :mt£1;fL::::jjr 2.711~~Rh1ii)

2) :(E~~D·tfFijtff(£r, Hankel.-=fJ9~*.T H, 'EJlNtt

(1.2.21 )

lillt.i I[ f 1" 1': 91t iYS ~ fi(J Hankel • T hl it H J' ~ I ~!:t~ !!;!H'x $ ~ ~, 1M 'iW \1\L'2!: ~/~ J.E Hi R: 'it.f(I¥.l, tl!.ttR:::~, Hi rfJiJJl'd§flfll¥J, @:R.:!!IIl-- iiJ it ilf(fJ~B . .tim Hartman ~J!t* [18], Hi :lI!:~t'lrn, ~il.fX~:(f-B-j~'f& hE HCG ft:AJ. f + h .-.Ieiittl¥J.

J:ij L2 1I!tHO L"" mlfOE:y.tfJ Hankel.-TfI1fl)HJII~A H2 1[f£:fI:j HOO m:~. iVJ<T J;( .l; j1ij fit Ii1tt9~, if 1f5H'~ flij # HankelJ'J: f-1[f(; Hankel Itt h;f!1 Hilbert-Schmidt 1[£ ij:"

·11-

~ A 7!J-~fW.-T, .-=r A l¥Ji~iGfF spec(A). -tiW:¢-=r A (fJi:m~ IIAII JE.'X.JJ~ T A'A 91itLt1i1fiWI¥J~1i.nt HP

IIAII = (sup spec(AH A)i/;)

(1.2.22)

Jtq·l A' ,'10 A !Y~if.l'ili. ;t:f A ~l&, fl!IJ I,AII = O"o(A), J!Jfl O"()(A) ~ A 1¥J1G.:*~~m (1f:A: ~LFFm ft.J i$tal dit::WtfmA ~.illD).

it j ~i'1:tfJ'trn5L-r', iijf{ f BiJ Hankel itt{ IlfliH J£5(tUB f 115-D"ttJ Hankel ~r(fJ I

1lfliH = IIHjl1 (1.2.23)

W~ '!fL:fI:fn Hankel m It I¥J ~ Ii'iJ ~ ,#, ~ f.{ 1f ff M -'=i z:.:f1:l.x Jtk fi(J P>J ~ . - fit! ~ Jt·fl X1" Jill

tEl I).,l~, :x.1cJ n= J'i1l1f1:l Hankel m~~1fttJiJ Hankel.Tm~P~~ Hilbert-Schmidt 1i2~. Hankel lfrl!9 Hilbert-Schmidt m~ill.Q4 Hilbert-Schmidt-HankcllfLfJ., ltr¥t HSH m~, '8"::li1 rB Hanzon ~ ill I¥J 1191.

~~nW~.A.ffi.m~~~.*~~~~-~tt~.$~, ~a~TM~ •• it In :110 it m J£ s..

:fi El it::JM (A1,b1,c1) $.~rfJ*~, 172:ltffl (A2,b2,C2) ~/j\"t'iiJ#~, !J!lJ )'E1 Hoffli:1'f ftll (AI' )..bl, Cl) ::!( ~ (t(:L$ #t, rill t: + E2 ~ m

(1.2.24)

1VJ~(JiJ (I.lHlt::1Hll/J-) ffitJE. ~fftit!!., ft1I'FiJl;.l.ffl1t~~1H&i!X Hankel ~r**7f,~~. ;fi r, .f~ T2 5:HJIJ 1€- 17} if:rl 2.2 IfI # il! i'tj ~ , Jl!~), El J'!. 13' ttf ii iE tr xr., rm i: + 172 oil 1i -Hi Jal: ill :Wi '1\ + T2· .Im * El fj:] 172 51 ~IJ 1f Hankel J! -=f H I 5f~ H2, :lJ~* ),1;\ :#f ;;~r Hankel ar AHI> rfij El + E2:foJ' Hankel~.:y: n, +H2•

Hankel "·7' Erg Hilbert-Schmidt 1iHf£IiP HSH m:!J&"ilJ);). 11»'/9 $A!ftiU tI:I ~.iE~ m 1¥Jij.f£ ";:rfrJ.L(fjm~. fE~~lPtriJ]tH(£r, HSH 1i1:fiiE5l..J!J

C>O

2 T ,"",2

IIEllmm = trace,(HH ) = ~ khk

k=1

(1.2.25 )

J:tcp t.race(A) :Md;!~~ A 1¥.lJ& (Jt.iE.'xA1fa 1.4.1 '1Jffl-tf:j). 1t: :Ii t!t: IJij" I'm trnJL T, HS H m:~.JE)t_)9

liEII~SH = [00 I" k(T,O"Y'dTda i. 10

(1.2.26 )

HSH i''G: !J!!Ot tr J;J. T:fj' if![{ j'j{] ttiW j1gl.

n!Vi: 1 {t ~ i't[ lJ'J rilJ fU J1 tt IPt 1'aJ Im:# ~ i£ T, HSH WL 1& fIIJ.1f jj ~ f Hankel. T * ~~~ (tilfJ''f }j:frl.

ttm 2 4iitrA~tl:n~;:E, ?m~*~ E \¥J HSH m!ltj'j{]:ifjJ~TfBL~i1ErtJ1flf,l Nyquist 00 J'Jf ffil rm t5UfJ 11"-1 111 (~m I!I 1.2.1), ap

(l.2.27)

. 12·

..itA-l

i) ,(8) = T(ejO), ;I't.p () E [0, 21T) M 05t: f1J 21T ($Ii ~ Itt ra) tff (£), !lX:

ii) ,(0) = T(jw), jtlfl wE R M. ~(X) 1t il] +00 (J4ttlJtlA]m~).

tlm3 ~~-~.~.W.~~n~ F:m-K.*~, ;tt HSH m:!f{~Tffi~M"~ n:

8 ~
6
4
2
0
-2
-4
-6
-8
-5 IIEIIAsH = n

( 1.2.28)

'i'1 mt 4 Xf T - ~ ft{ iaHij tt 11 T( z) i¥J __ ~lItrB]*t1t: z.. ;fi}f:j s, *7FA~fhti?litt T(zk),k = 1,2,··· I¥J'¥'~, Jj!IJ

5

( 1.2.29)

~ T 1.1 1) it" ~ a<J if! ~~*ill. r~, ~ J!$ a<J;RJl! tB I: - fH~;t JA:fIJ (fJ ~~~.. ¥f 1J!J ilJ!, j;2 ~*:i2! i5llm tf § ~m m %:y,HJ!:f f}'/j\' m:flJ.

1.3.1 ~~II$

J9 T '3! W i2!~ lit rn;iE St.., ~ £, ~ 5t 1HB 1p.{\[~ Il$. -1- n X n 1p.fjLJlH$ In Et3:ftl?t~ ~Il$

In = leI··· en] )ESC jtq:. ek :I!~ k 1'- "A~" rRl:i: 1)

ek = [0 ... 0 1 0 ... OlT

, J} ~, ,

£!p:m k 1-j[;* ~ T 1, ;it *" JI;w:1iJ o.

-~'J1~{Ik!OCiE1r1€1t$ A ft;1;] ~~1if,}f ffJ, ~'EJU1~~Ar:1t!f:~H:f:l. NmU, 'E.l! 1ifjfrt.J. ful*-1-~It$~~~~, Wj" 't::~;JEfftE~~Il$. !JiL, -1if#m~i!f~:t'fftE:l$ ~I!$-. ~--1- n X n fl<JiE.1J:t;§:1l$ A-I ijIIfJE A-1A = AA-1 = I lit, ttf$~1i* A-I JH€~

A f!(]~~~.

-1"- n X n ~1i*rt.J~#ttrt.J~7~-l'jIm-ffl*~JHT9IJi\.

* A = {a} E elXl, mU't::rfJfi~UAE8 det(A) = a ~tH. -1- n X n m.1l$ff.Jfi~!JAffl (n -1) x (n - 1) ~eJ$rt.JB9tl.it;Q::SC fi~

"

det(A) = :~:) -l)i+lalj det(Alj)

j=l

·13·

Jt ~~, AU ~I};R t,; A tIiJ~ 1 fi;fO~ j §UFu1~.ilj (f.J (n - 1) x (n - 1) ~ 1$. n:7~~(f.jff fflf'l JYl{g:f~.

det(AB) = det{A) det(B) , det(AT) = det{A) 1 det(eA) = en det(A),

det(A) # 0 <rl A ~~~1ij-:H< (f.J ,

A,B E cnxn

A E cnxn

c E C, .. >1 E c=:

A E c=:

_.-1' n X n ~~ A ~~#~, ~1ii£~ det(A) = O. ftllIt, ]ILW: det.(A) -1= 0, !llUit~

Pf£il:I1J~ag. J!:-fNJt!!c, fd:'·~~ A E c=» fliJT;YIJ:w£~ift Ill:

1) A ~f'-~~;

2) A-1 ff:f£;

3) rank A = n;

4) A (fJii rt 11J!lt " ;

5) A ~ :¥~ftl tt 5!1!1l.;

6) det(A) f- 0;

7) A 1'fJ{fi~I'J<J!i~;l! n;

8) A 1'fJ~~raJ l'fJit~J! 0;

9) Ax = b ~&--t- bEen ~-3ik 1¥1;

10) Ax = b :%tw-1'- b lfPit-(t(J/m;

11) Ax = 0 rt.pljt-M~ x = 0;

12) 0 +~ A ~WttE{« (~ l.4iJ)· ~n* A,B,C ~~~1iTj¥, mlJ

1.3.2 ~~*:i!51!1

fOO ~ ~1' t:~-I'fJ~Ii¥*~;;lI~.

~1i.l1.3.1 (:ttlJ~~l!PjU!l':5)~)* A ~~F~~(fJ n xn Wli1O, C ~1~~jfl'J<J mx m '»:.:11$, B;lt;:n x m (r;P.Ii$, D;;Il; m x 11 jE)l$., 9!1J:lfl-r·~il$ A + BCD flUj$jJ_:fjtff,

(l.3.2)

y = [A D]

C B

(1.3.3a)

. 14 .

:rt:rft A M: m x Tn :!It!~, B ;;§ (n - m) x (n - m) ~E1I4, C ~ (n - ml x m j,E~, 1m D ;% m. x (n - m.) fE Il$. ~Ilt y fIiJ ~~Il$ B3 T :r\#f ill:

(1.3.3b)

(1.3.3c)

ffiUE A ff:I L1 = B - CA-l D ag ~J;fl~ff1£, Ell: B fIl A = A - DB-Ie ~~r.eJ!$-ff:(f. ~ rf/, W~ L1;f11 A l*J9~1l$ A 8) Schur :f~. *f_gIJ:iti;, .E'~1l$ y J{.1r7t~%~,

y=[A v]

wH 0'

( 1.3.4a)

lt1f, A ;I! (n - 1) x (n -1) :t!ill$, a 1JtJi;I:, v fp w.M):1J (n -·1) x 1 ytlrfll:i:, 1M

(1.3Ab)

it 'P , 1i7;.m ,8 = (a - wH A -1 v) -1 .

;f1J ffl :I~Je ]i$ (8 iE >L • /f~ :$ ~ ij£_t. if Wi 1'- 91:tm rB iE tiI1i tel:.

!mrt (1.3.2) fpj\ (1.3.4b)JiJf~, -1'-WIl$El3mm!l$:!m.l.-fTfp-9U (!iX:iit*-fjfll~)~~~, ~~~ll$m~M~~~fi# •. m~#~~~~~~I4~~~~m!l$.

)iii ~ -* JJ!! 91 ml t£ ffi -B-!(J::OO:, ~ iJJ ~ fM.fI1 ~ tit lHl i~ ~ "P ~ A f\ ~ tl. fE1 @ m ~ JA i.3l1t it

/J-.-=-* (RLS) $~ftit.~.

l§IJ 1.3.1 -1-- x(k) = s(k) +-n(k) J9~i~U2:1%. ~1£it~~:MiHU1 '1'- M M-i¥J~~~ w. -iHrk ij! :tt: tfi!I ill ;.q {w ~ s ( k) eg ffi iY!~ 8( k ). 12:

Wk = [wk(l), wk(2),"" 1L'k(M)]T

xk:::: [x(k -l),x(k - 2)", ·,x(k - M)]T

IiJU{f

e(k) = x(k) - wf,Tk

(1.3.5)

k

e:(k,w) = L"k-ile(kW

rr:J.I;:/J\{-t. ~ 8ch~W) = 0, *5f~m~ (1.1.2) J!pmYE")3 (~J:U~$M!.XiM [3] ~ [4]), MIlt~ ~ttPTI;lJfJ

(1.3.6)

k

R " ,k-i T R + T i< = Z:: /I XiX, = k-l xi<xi<

i=l

(1.3.7)

P: (1.3.6) mliT--tl'tWt.$*tt~;ttttiA~)2 e(k) ~itlJii<J ~l~mImil£~:1t. lfI\iJd1 1ft Ai'J~=- * (RLS) • e: f'E:ff ®}( ~ ~, tE.~:t.:1.J if ~ .lfd~ _:~ *' BHt @:;J:{'i!ltt' tr.1t ~. If! T :rj;; jVm~~~~!RJ iL mJ e(k) X~ IlJ ~ HLt·\; (1.3.5) it. (j{JTJl!iWH',t·j~, Fil' J;.1. J1. 'It: ffi~ Rh'] (j(J:it ffUt ¥tIll] JJ2, ~p iiT ~J!i.l.I~H~ M (fI RLS • i*. x'ht (1.3. 7) I;\£J~Ht, Pt·;:R:i$[! ~ I ~ 1.3.1, "iiI {'~HIJ R k 1 tfl J! 1tUH~~ ~~ r ,

(1.3.8)

AU}, .i\ (1.3.5), A (1.3.8) :fll:it (1.3.6) RP tiJ fiX T 'J'GIH~J RLS fj J1i J.\IL~$.

X'f RLS § ili@JH'!;SiJ'i1frt31tf)TJjJffim>clUk [3},",[5], -f~f,1.:W{trtJ RLS J;ft~PJ1t:x mx [6] $ tt¥~ (ill.jQ,Xiik [4]).

rJU n x n ~F~jf~~»:;tt~miltfQT ~J.ffl ~lH:1iL~*~Jl¥$J$09it}1.m.m}"f~rttm [71:

n+2 1 0 0 0 1
2n+2 2 Ln+2
1 1 1 0 0 0
2 2
0 1 1 1 0 0
A= 2 2
0 1 1 1
2 2
1 0 1 n+2
2n+2 2 2n+2
n n-I n-' 2 2 n: ,I
n-l 71 n-1 3
A-1=
2 3 4 n
1 2 3 n-I ~Iw~,~~.~ •• ~~~mZ-4*$~m~A~~~m&~~@~~~~ ,*1:. .i! ~ rOJ RM"4 {~J-!! ~!¥.l¥i UE filliiJ II. WlJ!m 1r: ill .!ij-~:il91. i~i!H'J( 2!UfJ Pisarenko 5t fWt 1] It til $1t ffi ~?t~ (MUSIC) f,:ltdfJ 1* Jc" tt~X1:f* ~ lilt £t\I ~riF ffi I~J NM.71 j~ -·11 00, l:m f-t ffi~~:iI~£.~Na~mti~~~~ffi~~~~*~~~m~B$~.~~~ •. ~ .. !t3! Ibl fHl "4 t\t (" 5l.. *f.fiE {ti (OJ JJfi .

1.4.1 ~{iE{l:(ole

Ax = AX, x f 0

(1.4.1)

. Hl .

i\t, --6: A.T = ),.T, li!U fJ\ x :.fi!o!"l A X1 nY B9 ti*f ttE It] lit; ~ xH A = )'xH, Y!IH$ x ~.!oj ,\ Xf E'I IJiJ I]:. ti' M: tnJ !J:. L'J.lG ~~ i~ 5llf pi flJL B ~lU "%' tiE InJ it" iz m "i; ~ 1ll ~ .. " .

.it (1.1.1) 't~ flj; J.1 t-r tE il1- W1tE I~] I: 15 l'? :it;. *f{[E-fi[ x ~~:{iE (.i]:I: x =~ ,~, R:: ~Xf ill.J.W., ( )" ,J;) 111' 11 %~!1t- A W J *~Hi01. !Ii 1t, *-.f tiE {1.Pi J Ii~ 11 ,.~, {B_ H: ¥T- tiE rRl :I: ~ Ilf Ij, :l! ~ (.ij :1::. ;iE)t 1.4.2 WWt A E C'"'' " fflNf'~ftHiHfi ). E C Ji<J:lt;%~JJ A !¥.lit, i2.* )'(A). );11 ~ A l¥J:US- 4': n :Mil'- -£.1, '_% ~ • JE'X. ~

p(A) = max 1,\1 : ,\ E '\(A)

(1.4.2)

~t ~, p( A) JiH1'd" A £8 JiJf frl#tiHM: fF.1QII P>J ~ mr 1: f1CJ.ii Ij" 00I1ll1¥! ¥-~> 1M! J~' f:F. !F¥ ffii m~},tt, Mog i1!:-1pt~.

!I"f:{if 1ft. - ~ fil [iiJ it 1i~:rt (1.4.1) IlJ 1). ~iftjtlf~ fI::

(M-A)x=O, xf-O

(1.4.3 )

det(M - A) = 0

(1.4.4)

[t't. ::t iI- ). E ). (A). i': M, -It 11'1 f¥ r;;,-r EfJ JE X.

JE J( 1.4.3 }ti ~ A E en>,n I¥J~ tiE $:em.rt)EX 11

p(z) = det(zI - A)

(1.4.5)

li A rf.l ~ tiE {tl ~ fit -@ A (fiJ if RE $ J9f J:\ EfJ n 1-1i. -1(- "\(A) = PI"", A,,}, ft1nPJ~tHMi}£,

det(A) = .\ ... A"

(1.4.6)

_illl.?t" n A J!fi'~#fiEffl, !l1U det(A) = 0, lW~1l* A tt~; fi.:t_, ~ A (fl)iJf~*HiE{u1'i~ /F~r:+, OOIJ det(A) I- 0, enw~ A ~r.1.'i:Y¥.

¥J ~~ -11 Uti , W ~ A rfl jl[ hl it trace( A) £it!fjJ iC. fF tr( A), ;a; JE)(_::9

n

trace(A) = L aii

,=1

(1.4.7)

-ftw lH£ Il¥ ~9 j1H19 JL 1'- ii JPi (iII UJLw.. Jc iWK [1]). 1) ;m_;~T~1tE iff. z:.~,

trace(A) = ..\, + ... + An

(1.4.8)

~-~~~~Wrl~~fflN$~~~zoo*.~m. 2) :il!t ;l~Af! 1U /f ::Jt it, UP H

trace(AB) = trace(BA)

(J .4.9)

. 17 -

n

trar.e(Ak) = L A7

( 1.4.10)

i=1

:it fi (t{J fI:1 ¥F ~1 A H<J WI%' iiHK (t(J k 7~ W.

4) ~Il$ AlI A ff1 AAH 1¥J~;ffi~, .§.1f

n

trace(AH A) = trace(AAH) "" L laiil2

;=1

(1.4.11)

t1M: 2) f(l 4) BJ W Il*tfH1H!11~ B1 }.E_S(~ %1.

~M~R~~-~-~~~, ~~ti+mA~.A~~~. ~-&~, -~a~fi

XES ==> Ax E S

AX = XB,

By = AY ==> A(Xy) = AXy

~Ltt, * X Jt.:;~nJll£J1J~ (I!P#iIl*I¥J~~i"-;lt_9ti~), liW AX = XB g~ff A(B) r:;;; A(A). frll * X )iTE1J(J(rf!1::j~oij-ff:j'ji], !I1ti \(A) = A(B), *ll:J.lUf]¥F A fIl B = X lAX ~ "ffi1rJ." [J<J. ftll-;@":.:x. L, X ¥FfF- "t1IfW.1E1*".

~ ~ A 01 ~ ttE tl'lJt tf T 00 - ~ I!ij 1m PI 1t te tf] 'J>1Jti. 4- ~ ~ A E C"x l' (fJ ~ itE {II t.7 Ai' i = 1,· .. , n, IJlU 1ti Il* kA (j!;: 9=' k -~a1i:l:) J1. A:M'1lE {ft kAi' fr~ * AM: ~~ ~ ~ ~J, :lJB ~ X-I Jt. ffffl1lE -m 1/ x..

~~ A +kI !fJ~tu:u[;:I;J Ai + k, *-1-A~!'8mJi}!.1:m!lbljj1JiJlj. lIox~~fiia<J~jj!~ ftU5HI

y(n) = x(n) + w(n)

:{-ftlli, }t~ x(n) ;.q;:;l:\:Jffitrlffi-'1-. w(n) :i;!=j x(n) m}t-1~.lLmJJot±A~F, tt::I:1JfH~~. 1; ft. 1.7 02. 4- Ry (T) = E {y( n)y( TI + T)} {-t*~JIl iJ!~:ii:@ tfJ fI fiLA jiEj f{ 1 Jt1± g ilj w( n) j) fJ ~ ~, 111; 11'] {!- m -1: £HiE HJJ F 91J *- # Rt t: :

Ty(T) = Tx(T) + 1\I)(T)

= T;t(T) + (12 X SeT)

],]

. 18·

Pll * & ~ x( n) ~fVA""1- AR(p) m:Wl, IJ!V m ~ eq § *1L~~ ~ R; Jt:ff ~ p. T~, ~Jl! iW~ J1 W fig 9 .tfl A:);E ~¥ Ry !¥J ¥HrH1i x, (y) !oj m ~ FH11 ~ ~ ~ n, !¥J ~ tiE {« >.J x) R. J10 11 ~ Fl' (t{J 11 12ZrilJ TH'F:'F 9tl* #'

i = 1. ... ,p i=p+l,···.n

ff % ili (!{] f~PI~\Ht T. 0'2 tt >.;( x) + 0'2 IJ, ~~ :$. t£ {it % &£ m! !f1, fi'dit re:tID ® t!:i _± ~ ft' #H11 A }1jlE 1ft ,M;: it ± ~ tiE 1M , -rt6 te J)9r :#16 ~~ Il)j ~ IJ\ 8IJ !Wi' liE -m: ;fJ\ 19 tX ¥f tiE -iIi; !oj ± ~ tiE fa Xi Iili B9 t!J bE !oJ -I: !l!U 1${1: fJ:i lr$ ~J _t: iJ. tiE rtJl:, 1(11 .. ':=J lX *f tiE {Ii X;j JE. f!iJ ~ tiE InJ :!it mu p4 fIJi: tX ~ tiE InJ :1:. *'l ~IJ tf g SUI<J Ji: , :f: %' if I~J :at kli ~ m -g-r ~ raj , lX ttHlE «i] S: rAj $; ~ p1 ~ s:: fBI . J! S :i!!l ft 11'), ~llW: ;;jHH ¥¥;$: f:H11 JdE Il-t Ry 3<1 Nf tf *f tiE Ul, Jtt fm ~ fe m % ~ ~ fa] [ilJ @ pi ~ ~ liD !5( MH. ~~.WNT~~~~~tt!¥J~*£~. M&~~~%fiH~am •• ~~m% ~~~M(~m~~m •. *~~M~)~§~.~~@ffl,am~t£.+.~~*~H j~ tj;ttJT.

~w~M~m*.~. mm~mM.*.~~~~~!¥J%tiEm~~. TW!¥J~*~ ~ ~ '#HiE Ul jlij it e<J -;% r.tI.

~1!ll.4.1 * T E cnxn *lR~

T = [TOll TlZ] P T22 q

ml] >'(T) = '\(Tll) U >'(Td. jjE~ fZ

Jt-rp Xl E CP ,ft) X2 E C», :.& Xz of- 0, JJ!IJ T:nX2 = >.x2, lJ..mi >. E ,\(T22). 1tf Xz = 0, mlJ Tllxt = ·,\xl' MuM A E '\(Tll)' T::Iio, >.(T) E >'(Tll) U .\(T2z)· @;!!, ruT )'(T) fj] x (TIl) u x (Tn) !l-ti f1l [UJ ~J J£ 'Ml: • JiJf I;I. ~ + #HH1~ ~. •

1.4.2 j S(!I1f fiE fi )CJ .i1

1- A f1l B ~~ 1'- n x n 1E1:f~[i~, ~fi%j\; A -'\B (:ttrf:! x E C) ff.lJilf1fjEli4'-ffi.;f$ JJW!)!t:w: (matrix pencil] ~~~M (matrix pair). 1e[i$*~1*:a{jlpLI~j ){~iiE{j[, i-2fF '\(A, B), kY. JJ

'\(A, B) = {z E C: det(A - zB) = O}

(1.4.12)

fi ). E '\(A, B), Jf:: _§_

Ax = )"Bx , x¥-O

( 1.4.13)

!l!!J 1$ x ~ ~ ~ * A - )"B 01 ~ lIE tnJ;; (J _)( *f tiE I<D :1:).

~ll:!f:~1i!t B Nd~iPij#dJlJ, 1m0_ -'(A, B) ~AliJti~~I{'i(~{ii, lrm1H~1f:"il-m. (~P::;E

. 19·

:JJ $1' ~ tIHR). WHll
A = [~ ;] B = [~ ~] ----+ ),(A, B) = {I}
A = r~ ~] B = [~ ~] ----+ )'(A, B) = {OJ
A = [~ ~] B = [~ ~] ----t ),(A, B) if~ 1.2 il1rtB T ~~-tf#fIlJ JE1J~Jl$ A ~~~If$ A-I, 'B~IlfE-J.EXI¥J, 'ffij~Jtfl AA-1 = A-I A = I I¥J 11 m . ¥J IE J'j 1E Jl$ EfJ i~J.E j1$:tl r i1J * 15 jfHe Jl$1iX; tf # rfJ 1£ 1J ~ If$ , ft 11'] ¥Ht ~~~oor~~~~. r~~~~~-*@ffl.~~m~M~ft.~=.~~m~~~ -- !¥) II it: JM 'f.

1.5.1 Moore-Penrose i!~11$

~ A ~ff:g- m xn 1e1i$-, 1t1n~j£1i$- G Rt A I'fl Moore-Penrose l3I...lE~~ (generalized inverse), 1r G 1A JE lJ r 1m 1-~ilt-:

(1) AGA=A
(2) (AG)H = AG (1.5.1)
(3) GAG=G
(4) (GA)H = GA j ': Sl..lM!~l!$iliIl4{1.J~1£1l$ (pseudo inverse). 1tJf:H'1% At *~ml$ A 9915!..~~J$. _~ffjj ~ Jl!., n x n If.1i~~ 1if ~ ~ Ii$ Ef.l ~ ~ ll$iB ~ ,IE J.;J. .l; 1m l' ::k 14:. JA M: l' g 5(.t i1t , jJp_ jE" Ii$IiJ L_;), it 1t :ll':: Moore-Penrose r 51... J1! m Il$I¥J - l' fIf i9tl.

J! - A9::1t!!.. :!m *m Ii$- G ;fJlijJE ~$ JlYl'~¥f, P. $I fi:1tr:f:1 Ef.l *'14: (i), (j), (k), 1J!~~1r'1 1If G J!W~ A ~ {i,j,k} .l2'!mli$- IS). ~H!ll, 15;Je1i$- G ~,lE4k#, (1),(2) fll (3), {§./FtAJE ~# (4), -fU']¥t:ftFJt~n:!~ A (j{J {1,2,3} ~mll$. *,*:Q{f11~ml!$, -fM'J:mtE~:i\:a 6.4 -11 Jt.#Htt.

TM1l-~t£TW!=f:!@mitjlz~pij1- Moore-Penrose) :x.:J1!!:~Ii$-.

1. E. V':1 it.. ~l'. ~

:1J~ m > n #.§. A A:ff$i.fllfJc (rank A = n) a<JM'(£. 1itRt, n x n ~!i$ AHA f! I1J i'E tf.l . ~ gJ W: ilE,

(1.5.2)

~JiA (1.5.1) M ~ 1!Y1-1fdtt:, ~.tIt, 'B:n: _._f1\' Moore-Penrose } £~~Il$. IfrY (AH A)-l :2i ·:f 1L * (f.J ffi: ~. 3f );( 1ft 1ft re :r:t (1.5.2) ;.ESt. 89} )( if!! m I!$ ~ 11" tdl.! i2! ~ Wi' (left pseudo inverse) (10).

·20 .

2. ;b~ii~~

N~~ m < n 1tll A A::WillnfTt:J.; (rank A = m) ~~6L. J!t1f1, m x m ge~ AAH £ ET:l1!e<J. JEy.

(1.5.3)

;r;~i]iYE, 'tllWJEP.: (1.5.1) J9T~I!111-*14, mllIt:Jll::~5'~~~ Moore-Penrose I _)(j9H;[!~. R3 T (AAH)-l 1i~~~tti, A; (1.5.3) )£jUI~J i 3(i1!mj)$,*~fF;fjf'.l:i~Je~ (right pseudo

inverse) [101.

~~~OO~ •• ~~H~, ~~~m~~~~~.~~~=*., 1i~.~~~~ ~nw~.~=.~~m~ •• m •• ~-g.

~~!.ltt1r;fjm Ax = y, :1t~ A :Ro-1'- m x n ~'* . .El. m > n. EET:i!~1JWmI¥J nfi1-~~*~ti~~$, ~~~~~~«ffft~.»~ •. a~.~.~w~~~~ ~. ~ ffij, 1m JJ!:±I:!m--t-~**1tf,

(1.5.4)

.~nm~A«.-~m. :i!ft.m.~.~=.~B, fi~=*~M~.~.~m. ~9€1l$ A ifftfE:-l'- n x m ~Ii$ G, {l~mTff;i;:1¥J u, EB

XO = Gy

(1.5.5)

~~~~~~~~x~A*.~~.~~n~, ~~£~.~ [[Ax - y[[2 _ [lAx" - y[[2 ~ 0

~~n~:i!~m XO ~./.l\=.lW.

-1?-J:t (1.5.5) ~ (f] G EB ~fl~~ A ~tc~~;ell* At ~~, I!PM~

(1.5.6)

(1.5.7)

ft-ft'JfH1 YE13)L 1::ilt;l€~ ,@;r;~jc\ (1.5.6) rn~/1"'=*llW· iiElIJI

[[Ax - y[1 = IIA(x - XO) + Ax" - yll

::::; IIA(x - XO) + [A{AH A)-l AH - ImJvll

::::; ilA(x - XO)I! + il[A(AH A)-l AH - ImJYl1 + 2[A{x - xO)JH[A(AH A)-l AH - ImlY

@~1ti€-~~:r\(t(Jm.=::lJlt~T*, IW

[A(x - xO)]H{A(AH A)-l AH - ImlY

= (x - xO)H[AH A(AH A)-l AH - AHly = (x - xQ)H(AH - AH)y = 0

(1.5.8)

·21·

[lJlt, ~ (1.5.8) j\JHt~

IIAx - ])11 = !]A(x - xO)11 + IIA(AH A)-l AH Y - ])11 = IIA(x - x.olll + IIAx'> - yll

H-lT

( 1.5_9)

IIAx - yll 2: IIAx" - y!1

•

1.5.3 ft'J\'ffi"lI<NJ

l}€. tE ~ $ ~ j~ - # tt!f &, ~ .!i£1J lM ffi Ax = y ~ 1Jfljt 1- rt t~ * j;o ~n¥J 1-~ j,-', 1T- Hll m < n., l!#1J:f£fFJ9_~J:EJjW, Jt1f:7C)j$tfl~.

~-1-M.~~~, ft~~fift~EN~

(1.5.10)

rn 1.5.1 1J w_ (1.5.10) I¥JM

~o !!J1.5.1 m /T~, -Ff~ Xl + 2X2 ~~ 1 (] 1~jf(JM1f,~ (x1,x2) *Il;;fi!:7TW (1.5.10) tJiJ m . ~tl!f: '* ~ ~ ;:E P#' - (fJ m , -litil'l we ~ffl.~.~~**#,*~~~.# fj(J Iljt-~. it n ~'~ * -5fftf:, ftfl'J 1J:}<: ff!¥ x If) 1[1& JJfw: ) J" . if{ ff 1#- ili (Ii] Ojt -- fift ~ ~JhH'j[~fW:. mf x EfJm:~lfd\~~[ITJ T (ri] • x tJi))Ijjij/:i, L"j @lX ~W_ $l; irk'-J" ~y :!ti '-J~ fiLt'l f(j!( Y,fYi, 1ft MHQ "$l M .

l_W. 7'f_ ~ Jtt 7'J f~U\ (Ltd 0) 91 "~J§.lY, (fJBp. _ .IN Bi fj{J f@t", U!ti ~ ffI¥ Ai, _:'fi] (2,4), J{f, 00 L 5 _J - ~-1lX.lt!!., ft1IB*JYt~:A:):£1ff£ Ax = y rfJlt~uJ\1'i1~JW, I!PHI XO = Gy ~1-tHFJfM'{t:

X J:E H;ffi tfJ Nr -ff fW rp ft- {f:!& IJ" l¥J m: ~:

ilxl121lx"ll

(1.5.12)

m J:E. T lffi liE HJl, .ik -Iij ffJt ft: m JE ~ ~:rt: (1. 5.11) t'JiJ ~ -l- -::_ * .ttH~ Wi: ~ IW, raJ ¥F:Itt 'J, m t'.t nw. If Jt 1t B flJ

Ilxll = Ilx" + :r - x"ll

= Ilx"ll + Ilx - x"ll + 2(xo)H (x - .1:")

·22 '

(LJ.I;q

ttl f£_:>L. lH:it (1.5.12) 1i-

(xo)H (x - XO) = v" (AAH)-l All - A H (AAH)-l Alx = yH[(AAH)-l A - (AAH)-l Alx = 0

T~, rt (1.5.13) qyrllHtjJ

Ilxll = Ilx"ll + Ilx - x011 f*I r~l l:Il: J[}i II x - XO II ;r;; liT 1f€ ~ ~, irt £::lLC: Jt ~

!Ixll :::: IIX"II

f!P x" "6Jti~.noJa+m:!fIlM.

1. 5.4 j sc i~H~ 11$ ~ ~1l' It iiH1Ht.

tE~tJEYHR.p, --tntfiijJ¥J~im'jljt~7F~-t-§ @I!t1 ~ {;ilJ-'f.i:l] (ARMA) m~l'fJ~ I±I. ?l.\ffij, fEiq:$~jt.'flBtt1t£T, ARMA(p,q) ttW(j(JWt~ (p,q) ~*~lB, ~!lt~Mc',hP fF.i!l-ttitx1$T/f~\UJOJ~M"{X81 ARMA m~H¥J AR::ffi MA ~fi, #~f£:id;t\ift~ (p, q). 13: ~!ffl, -~ M-~J81 m i¥J -*t1EmiR1J#";;;li;:~~":f'f1l1t iJl h I¥J. Too 1rm*4SfF*~ A1flU ttL~, ;t-(1:j~~Il$(f(]IlfrJ&.i3!:}tHt.1J$ [ll,121.

1. /i_ i71 ii *- JI4. fI] )I,t- it!! _fftJll, 121

AJt~ n X m ~J$ r.; *19: pt = (F;,F",)-lp;, ~ e.; 1¥J1L{J]J!j€Il$. :iEiI 1.5.1 4-

(1.5.14)

(1.5.15)

(1.5.16) (1..').17)

F]t = IT IUT Id ~ IIA ED ~ 1$ F m (f{J 5t tkJt; :a:, ft {fHi"

( 1.5.18)

·23 .

FJ:-dm] [X Y] = I

!'I.!m Z W rn,

F;'_IFm_1X +FJ._dm.Z = [m-l P;'-lFm-1Y + F;:_dmW = 0 f!F",_lX + f:'fmZ = 0 !?:'Fm-1Y + f;J .... W = 1

X == [F~_lFm_d-l!Im_l - F;'_tfmZ] Y = -F!._dmLJ.;;/

Z =: -f:!:(Fm_1)T ..1;;.1

W = [f;:(I .. - Fm_1F1._1)fm]-1 = 6.;;.1

#f X,Y,Z, W «IRA-J:.A, iLI!P~¥I1Jt (1.5.15). •

tr.ftl~~Il$~~~ (JEll 1.5.1) 1EJ;.t!ttJH.RrflffJ@fflfJtlT:mtEJ;P.;/I..r- Y..Jl/J"=*

(8.2 ~) r:pj'r-iH.

2. ;t; V1i! ~ ~bj M-4ti!;fftllll 5\j~~1i$ F", E C .. xm, ~~ n < m.

~fl1.5.2 iG F", = [Fm-l' fm], 9!~;t"f.lJ~~11$ FJ, = F!(FmFZ;)-l Jl.1fW.rM"~

(1.5.19)

c;;' = f;;'(I .... - F"'_lF"~_l) a., = c;;'f m

(1.5.20a) (1.5.20b)

i.i flffJtJJ1S{fi/9 Fit = l[ lur !d·

iiEM SjJi'.~ 1.5.1 Ef.IiiEOOJe~~fI;J., lit.

•

·24·

.l; ~ 1i: {1J ~ ~EJ$ rtJ mr fi .lilt. $ m itJ :itt: - zv m J ¥1HIi WJ ~:I: n!!!$ En M- til ~:tIE, ». m-i 1# fU M- ~tjllHfUt1 $flUt}] ~:I::15 ~ P 3), j$ J{!. m fL It .

1.5.5 6JE=tltiUin~tA*.

~~r~~m~~~- •• mffl, aill*~.=.&%~.~~-~£*~M, m ~ = tl § tm 19 ~ tt lYJ ~:J!g (ARMA) ;f"~nrHn f$ ~.>f:J!g (MA) ~:ti:.

4" ARMA(Pl,P2jQl,Q2l ~~:tJ

P, P2 q, q,

L L: u;jx(n1 - i, nz - j) = L L bije(n1 - i, nz - j)

<=0 j=O ;=0 j==O

(1.5.21)

/F~'-1Rtt, fOE Uoo = I,Ql :5 Pl,Q2:5 P2. ll/Fiif~j'HfJ~Aitfib e(nl,n2} lif=!'llE~ R!liMPi, Jt±tl{fi.tJ~, 1J&~-T (72. =i'l ARMA l1W {x(n1,nZ)} 1¥J~$.~J!tEEr:a:

(1.5.22)

p, P2

A(Zl,Z2) =:: L: L:aijZ~Z~,

;=0 j==O

P, P2

B(Zl' Z2) = L L: bijZtz4

;=0 j"'O

i£:a, $Jliij\ B(z}t z2)B{z;-1, Z;l) t:P1¥.! Z~Zi fll Z;kZ;'" 1Ji1¥l~r£;ttH~, zfz;m;f!:l Z;-kZ~' ~.¥hffl~, tOC,~iI[U:{1f:a: (1.5.22) aq*f-~~

'I, '12

C(ZI,Z2) = L l:cijZ1Z~,

i=O i=O

q, 'I,

Ckm = ".2 L L bijbi+k,j+m., k = 0,1,···, ql; m = 0,1"" ,Q2; ;=0 j=O

@. (k,m) # (0,0)

(1.5.24b)

q, q~

dkrn = a2 L L bijb;_k,j+= , k = 1, ... ,Ql; m = 1,· ..• q2 ;==0 j=O

(1.5.24c)

L~n~~~~~=~m~n~. =~ARMAm~~MA~~mm~m~.~~, B ~=~ MA ii~llr C"rn ifp dkm. (2:~$:t'i~it.1Ji*i$£)c~ [20]), *fM~jE=ttH~al!l jj~:a: (1.5.24) X1 MA ~~ b;j .:i1!1TWHR. :it-lblJ1!:1!*-1S1t#~I:lHt"Hk:.¥.l (20J.

'1, '12

luu = L L bTj - 2cOO

i=1l j=O

'1,-1.: 'h-m

hm = L L bijbi+l.:,j+= - Cl.:m

;=0 j=O

(1.5.25a)

k = 0,1,"', ql; TIl = 0,1"" ,qz, ffi (k, m) t=- (U, U)

(1.5.25b)

q1 -I.: q2

Iq,+I.:,'12+m. = ~ Lbijbi+k,j-m - dkTn, k = 1,··· ,ql; TIl = 1,···, qz (1.5.25c) i=O j=O

iC. I = [too,"" I'll q"l , /q! +1,'12+1"" ,IZ'1!,Zq2JT fIl b = [bOO"", bOQ2,'" ,b'1,o,'" ,bq1q)T, :#

JE~jl!~,

8j F·-- DbT-

A·=

,

.4=

,

·26·

812q; ,2Q2 8bQI'12

(1.5.26)

(1.5.27a)

(1.5.27b)

(1.5.27c)

(1.5.27d)

:t§JJ:](~.iE., :#Wffl7Hk:jE~, l'AftliEtJ):j, JEIl$ F J't.flrwi~j]D~~fj.(J%A,
BI) BI Bq,-l v: Eo HI H2 Bq,
B1 B2 B'I1 Do 81 8'1,-1
B'I1 0 0 Bo
F= + - - - (1.5.28)
Ai A2 Aq, 0 0 Au .ih Aq,-1
A2 A'll 0 0 0 0 Ao Aq,-2
Aq, 0 0 Ao iZf=f-·*, ~1fJ~PT015Jij Newton-Raphson ~it~Ji¥M!JEI¥J=lt.~~1f~ (1.5.24). r.:m i $J1i{~1i!iii·Ef{J MA $filnJ l:iGPJ bU), mu~ (i + 1) Wtf}tsit b(i+I) HrFp:~::e,

(1.5.29)

;.r.\r.p r: ~~Il$ F [t{Ji )01{m~$:.

JHli: 1.5.1 (=~ MA 1£:f{#lit)

tv~ 1: lfRWMHri boo = J2coo fiJ bi) = O,(i,j) #- (0,0).

tt"w 2: :fljffl~ (1.5.25) it~~~ h.,." #:fUfflJ:t; (1.5.27) ;fIl (1.5.28) ftJ~~1l$ F. ~!J¥ 3: m.~:rt (1.5.29) J!#f=~ MA ~t'lrliJ.tHt b(i+l).

U;!~ .1: iZ.@±lt!W 2, #:m:g_l.tl!tV~, ][~"Jf~- MA ~!f&tsit{a bkm :W!&~:t.llt,

{k1f YO 1jlij JE.i&~ JR-ftt:,

I b(i+l) - b(ij I

km. (i+ 1) km. ::; 0.05 , ~ wr~· k = 0, ... , gl; m = 0, ... ,g2

! bkm

(1.5.30)

~~.~m-~~~~ffl#::eT9~=.~M.m~~=.ARMA.m, ~~~ It.hifltt#1!:li!I, !w.;;.ftT 9 :$~*, WJ;l!.)CMk [20J.

1.6 Kronecker lR

Hi Wf.1tJ Kronecker w,:-,: -- f4' ~ 2! fig j;E JUi; *:{R , '8 JiIo ~ .fJ- 91 J!e .!::j * t5E Jm ii 9=' tn Mi ffi. ~ .6 )tVi, Mftll ~J :I:.frlMlm [OJ S:Jifj*:fJT~ng·-#~*7t-IRr~.

1.6.1 Kronecker lRJ.iOti1~

J:E)\( 1.6.1 (Kronecker m) [211 p x q m~ A.frl m x n );E:I!$ B 1tJ Kronecker lJtiGfF A :Z: B, '8Ji:-t- pm x qti ~~, JE~::kl

A is) B = [al~B a1:Bj

aplB ap:B

(1.6.1 )

~)(. 1.6.2 (Kronecker :fI:I) [211 m x m 1E~ A fI:! n x n m-~ B rtJ Kronecker lIliG-ft A ill B, 1:.'~-1- mn x mn 9ie~, 5i:y"j]

(Ui.2)

"fJ T !! 15 ~:tm *-- ~ Kronecker ;m, It 1]'] s I A ~ r f.f % .

1ft~, -E c ~ - 1- Jt- ff pk 1- _j[;~ ~ rPJ:I:, =It 11') ~ ~ e[i], i2, . " , ik] $:ij; (or]:it e ~ ~ [(il-1)pk-] +(i2-1)pk-2+.,,+ikl1-5t.#, ;It.!:f i1,···,ik = 1,···,p. l!tf-*,pk 1-5G ffi !¥J II1J :I:: if: 1lJ l;.t ~ tF -1- k ~ il$ :}IJ *= :2i' 11 . ~ M.:tm, ~ M ;l! -1"- pk x pk ~ ~, 1E ~ J;1, Jtl M([i],··· ,ikL [il,···, jd) ~jf-:t€\I$ M ~J,fl; [(il _1)pk-1 + (iz _1)pk-2 + ... + ik, (j1 -

1)10-1 (. 1)10-2 ·lA-$ 1:trh· .. ·-1

p + 12- P + ... +JI; I JGJ!\. ""-Tt1,···,tk,Ju···,h.,- , ... ,p.

iJ1j 1.B.1 fiJi:: p = 2 fll k = 2, lllU

e[l, 1] = e (!(]. [(1 - 1)22-1 + 1] jG. = c B9~ 1 -t-5G~ e(1,2] = e (J<]~ [(1 - 1)2z-1 + 2] j[;:J;. = c 1't.1~ 2 -t-j[;~ c[2,1] = c rnjp; [(2 - 1)2Z-1 + 1] 5G~ = c H9~ 3 -t-j[;~ c[2,2] = c rn~ [(2 - 1)2z-1 + 2] 5G:* = c ~~ 4 -t-5G.

~J!t, qr~$!RJ:it c $:.if;.jJ c = col(e[1, 1],c[I,2],c[2, 1],c[2,2J). ~M:ltB, tf p = 2:fU k = 3, !J!U e = col(e[1, I, 1], c[l, 2, IJ, ell, 2, 2J, c[2, 1,1], c[2, 1,2], c[2, 2, 1], c[2, 2, 2]).

itffll;J, _t~ % ftf, A ® B rfJ ~ [(il - l)m + i2, (il - l)n + jz] 1'-:rr.. ~ a(it, jtlb(i2, j2)'

Jtr.p il = 1,···,P,jl = 1,···,q;iz = 1,···,m,j2 = 1,···,n.

:iES( 1.6.3 ~ A »:-1- m x n ~I$, .!iW A (fJ [tij .{too l1 vec(A} Ji!--t- mn xl$] .. , Jt jG~ M: A B9 jI;#," I¥J '¥JI4P:; 1I~ ~ (~P4 nt'~U !it£); ffl&, fIij. (f{] 1tf Il${t m lie unvecm,n ~-1-~mn1-_j[;.~~.~~jJmxnmll$~.r. m~~.rfl:!~.~.~~~r x.f:

(1.6.3)

0lJiUJ, 1f A = [al, ... , an], !J!ij vec(A) = [ai,· .. , a~J Kronecker m A ff W. T ft Jllt [221.

fiJPt 1.1

(A + B) 0 (C + D) = A 0 C + A 0 D + B 0 C + B 0 D (1.6.4)

(1.6.5 )

.t1~ 1.2

(A0B)(C0D) = AC0BD

(1.6.6)

(1.6.7)

·28 .

(1.6.8)

'lint 1.3

(A 0 B) 0 (C 0 D) = A (8) B ® C 0 D

(1.6.9)

(A0B)T = AT®BT

rtlifi: 1.5 tf1i!1l$ A;fI.l B *EHf~~1e1l$ At:w Bt,!IlU

(1.6.10)

(1.6.11a)

(I.6.l1b)

rank(A 181 B) = rank(A)rank(B) fl:m 1.7 tf A ~ m x m mll$, B ;ll,: n x n ~~, .!JlU

(1.6.12)

det(A 0 B) = (det At(det B)m

(1.6.13)

ttlilt 1.8

trace(A ® B) = traceAtraceB

(1.6.14)

tiJ1lt 1.9

exp(A 0 B) = exp{A) 0 exp(B)

(1.6.15)

till 1.10 ~ aj Ron:!JI$ A .tj!fflotiE{i[ x, X1.1irfJtHi£rt;J_, (3. J!~~ B !:i~fiEii!L P-i ~m~M~~t, .~®A.~~A0B~~~m~~~m~~E~., ~.~M~ -m. '\ + P-i ::tlls>HfJ *HiE [t;J it.

rtllti: 1.11 E A :l! p x q m~. B 11 m x n fd!Il$, 9lU

(1.6.16)

~~IJ!t!!., ~ A:f!l B ~¥~~I: (l!P q = n = 1), 9lU B 0A = Umxp(A0 B). f1JJi 1.12

vec(ADB) = CST 0 A)vec(D)

(1.6.17)

LX+XN=Y

(1.6.18)

·29 .

jl; r:p ~]!$ x ;;km. fR£J\ (1.6.18) rfll'fJJiJT1rWWffIL~ n x n ~2: r;$. ilJfitlillJ~~ ME rr.J fo!,;:;;: ti £II ~t ~ 11" ~ 7t tIT W PI ttl ~ :iJ l!t ~ ~ :1J W . EE '11:)ffl 1.12 m

vec(X) = (NT ED L)-lV€C(Y) ~ NT ~ L 1~~*. rn i~*-~I~J~ [23) ;fjl,t£E-1 l.10 PJ:Atflj

(NT ffi £)-1 = t t (bk ® ~i)(i3k0 t,JT

i-=l )=1 I k + 1';

(1.6.19)

( 1.6.20)

;ltr.p bk, wi' fih :ftl Vi jHjljJ! !'IT, L, lv' :fil LT i¥1*ftiE rli} 11:. tj(%;i:\ (1.6.19), :rt: (1.6.20) 1:). D:t'± M 1. 2, L 4 til 11 JPi: l.12, I!~ [ij" :f& iU m 11

(1.6.21 )

5E 'X. Mi Ii$ A (fJ Kronecker -Sf 1J

A[2; = A (2; A

(1.6.22)

~ltUttJ., J1f~fE)( Kronecker ** A[kl.

Pil * G & t x u , Iffl F J! q x u ~i!i'., t!.~ G ~ F ,'~#i l"l ~ytl~, y!IJ Khatri-Rao tHiC 'jj F 12, G, !t.IE X Xl [24J

( 1.(;.23)

T ffif ~ r~J 1tI: it m fl, Kronecker *lIf.:f:O Khatri- Rao fJHfJ'limi [211. 'r.tJ9:i: 2.1

vec(A + B) = vec(A) + vec(B)

(1.6.21)

ti)ffi: 2.2

(1.(;.25 )

'V.tJN 2.3

( 1.6,20)

teEM 2.4

(1.6.27)

,i"tlm: 2.5

(U;.28)

fUR 2.6

trace(ADW) = (vccA)1'(Ip 09 D)vec(W)

(1.H.29)

. ~o·

'11m 2.7

(1.6.30)

'!j:gt 2.8

(l.6.31 )

,tilffi: 2.9

(1.5.32)

ttm 2.10

(A 0) B)(F8 G) = AF 8· BG

(1.6.33)

1.6.2 Kronecker'RacJEYffl

Kronecker fR:4iA:ff f-t::1Ztt I¥.JJSlim ~11 r1E ffi %M::ij:l.":j -* m lID ii?;~ 1'fJ:t JeJi;iHl'fi) I¥ YIJ [t{J ~ ~ ~Jdt ji l!I! it --'=J 11 '1£ q~ (fJ $ffl· m tJ: lk.t¥~, Kronecker fI-( FJ:it: $; ~ jG [Iij lEi] Jf J~ B) f,1; !lit tt it:l: 5t tIT ffJ J{ 4>; ~ $: I Jl;G_ - . IE Ro Hi T Kronecker ~ D<J if! ffl, ;T {~1~ $ ~ j(; I!-J ~~~~~~.~., ~M.($.)~~~.A,.m--'=J$ffi.~m~~_®~*~* I¥J fi # 0:L\ ~ 141~'~ og 1m $ , ]OJiLt!:j.!fl.:3£: TI; 11f l£ r (!(] m J~ $: if, t»Jt: ffi tJ..

1. {.i] -I- it. i_l 61 .f i.R ~

~it~~ni;fj y(n), 't:~-1- p i'lMItJlJ<iJii, aD y(n) = [YI(n),·· .,yp(n)]T. Ml fJlI~J Y: i¥J ~ W, I: (cumulants 1 JE Sf... ff j1ij #:iZ\; *. - # .IE Y...1f.'it J! ~ 111 M; *" it!=f tfJ 1f'; .: *f iJEPf'i~ (Y~4~fn:i:!:Ent~~) ;;E3t.., ~rOl·1: Wi = [wil,···,W;pj1',i = 1,"',k;fn y = [y1'(n), yT(n + T1),'" ,yT(n + Tk-ll] (1'~tE Wi til y f5J1J pk tIE JilJ:fil, #f'-'i:-*,;fH1il1:JJtt*i 1& in E {exp(jwiy)}, :jI} Jtl i?; ~$; i!iHr ~J Taylor m_~~ Jf ~ ~5E s: MI1JL!OJ Jil: Y ffJ r'8J M- ~ m. s. W~, ~~~SI....~~~~:L\*_~, #H.~.~ill~~*~~m~0~. ~~ ~T. ~~-#~3t..nrt~~m$~R~~~. ~#1J~~~3t..~.~.l¥.Jk.~., ~J~u

ClI;,Yj,1I,(n;Tl,T2) = E{y,(n)Yj(n + TdYl(n + T2)}

M v, (n l, Yj (n) fp y/ (n) rfJ -=. ~~ ~:S:. i!ff - # JE 3t.. 1m £:h~ 1J -rn! i&-R~ pk 1- JL* tt<J M! trL [0].;: If] k M"'" ~.'. ~ 111 m Kronecker bi, T JH~fI m. (ri) • (Ii] ~:fR -;: PI J.;l.1E SOil T·

rES( 1.6.4 125,261 @kf~fa1L r~J!i: Xl' X2, ... , X"_l 5HlIJJl.:tr p 1-:iG *, Xl' x2, .•. , ;r:k fI9 ~tHit cum(x,,:r2, .. ·,xk) ~-1' pk ;ii;¥"fi{_J~~, Jt-m [i1,i2,·· .,ikll'Ji.~7J-g:~m. Cllm(xLi,'X2,i2'''·'Xk.i)' Jtrp il,···,ik~:: 1, .. ·,p. '*f£IJJtl!, Mit/LIn1:;: y(n) if,] k 1lif~{H ~fE_$(jJ

(1.6.34 )

i"_I=I,'··,p.

4<f -* t5UJ!; 1{ ~J~;% pk 1- 5t It rn Iil] a rfIi /f.M: k !1H"f lIJ If iW 1- 1: ~ W!J;I: (1) 't'i~ ~ if] fE ~!ft: q:lji6 ~tt.m r~J:il:;f!] W Jl$1t:M::; (2) '8 1!1! !li;ir'] fftg ~ 1!fffl Kronecker lH [jiJ 1i.: ~ fij-ilJ tH ~ n j{J\I. (Ii] I~ lti: U t',\ ffJ .~w, il0 jet.

·31 .

2I1BiiErm [25J, -1-~J1]{ft:e9 p :ffi*~j:;-'f~InJ.ttf:!1 y(n) l¥J k Wt~;{R.EB pk 1-:ffi# in foJ Ii Cky ~ tf] :

"2y(n; T) = E{y(n) ® yen + T)}

c3y(n; T1, 7Z} = E{y(n) €I yen + T1) €I yen + 72)}

c4y(n; 711 T2, 73) = E{y(n) €I y(n + 7d 0 y(n + 72) 0 yen + 1"3)}

- E{y(n) 0 yen + 1"1)} ® E{y(n + 72) 0 yen + T3)}

- pi E{y(n) 0 yen + 1"z)} ® E{y(n + 1"3) 0 yen + Td}

- PpE{y(n) 0 yen + 1"3)} 0 E{y(n + 1"1) 0 yen + 1"2)} (L6.35c)

(1.6.353) (L6.35b)

( 1.6.36)

Up2xP R:-1- p3 x p3 .w:1*:m~, t:;"1¥l~ [(i -1)p+k, (k-l)p2+il1-ni( (i = 1,'" ,p2;k = 1, ... , p) ~ 1,OO;Jl;t:;".ft. :I5]~f~.

9Jl* yen) 1-J**:i:MU,l.i1:f'1, Ji!UR~~A (1.6.35) >P I¥l Kronecker ~UR$;-I~\HfJ~Mt ~.~~.~1~~ .. ~~~, 1nJ.~fi~~~.~~.tt.~~~.A~.Al¥lffi 1l-;.u~~.

11} ~J.r~fHfl.InJ:I: tF:L"~.I¥J-1':I: ~fl)Jll~01J. 1f Ai(i = 1, ... , k) tJ r x p otlt;e Jl$, _§_ xi(i = 1",', k) 1;} p :7i;~Mim rtJ:I:, Ji!IJ

(1.6.37)

iiEM 4f v, = Aixi(i = 1,···, k), ~~ Ai I¥l~ (j, I) -t-Jti~~ \,j,/' T~. mWfiMI tn.i't~(J(] "':lR.11~ (~J:lUl~ J\!.Jt~ [6J ff.lm~~), 1t1t1~

cum(Yl' ... , Yk)[i1, •.• ,i",,] = cum(Y1,i, , ... 'Yk,;~)

( p p )

= cum }, . .:& . ... A·· x .

L 1;., ,l, I,J" 'L k;,. ,3.. k,J;r"

i, ""1 j.=1

P P

= "" ... "" AI" .... },k" . cum{x1· ... xk . )

~ ~ ,1.1,JI ,"IlI:tJk ~:h. l , ~)R

i, =1 j~;=:l

(1.6.38)

(AI0···0 Ak)cum(xl,"', xk)[i1,"', ikJ

P p

= L ... L },1;;, ,h ... Ak;i. d. cum( Xl' •.. , x",)[i] , ... ,ikJ

;'=1 h;=:1

p p

= "" ... ~ AI' .... Ak· . cum(x1· ••. x", . )

~ ~ jtldl ;Uz,Jk ,]l" ,Jlt

h ",,1 jk=l

(1.6.39)

. 32·

!tWA (1.6.38) tlJJ'.\ (1.6.39) 1l.ePJiJ~, iWJ'.\.£~#JIOJ, MA (1.6.37) ~A. 1N t9:: ~ !ftu A - ~ *DU ill (MIM 0) .¥ ~ JiJ W. ffl TOO f1iJ ~ it :£ 18] Mitt'

•

x(n + 1) = ~(n)x(n) + B(n)e(n) yen) = 1P(n)x(n) + v(n)

(1.6.40) (1.6.41 )

mIJik~i1W x(n) rn ». ~"IuJ:Ii ch(n; 71, ... , Tk~l) -ar lJ,( ;iiHftit;M:,ffff _§_~It;ij:fj yen) I¥.J ~tHI /AJ:I: cky(n; 1"1' ... ,Tk~l) ~ tt~rJ:lll ~ltf9..:Ji IilJ II:zfiij:ffT~U :ft:~,

(1.6.42 )

2. $1ti! BBR *J<.. .T~m~~~M.m*.~m~.tlllly~&~m.~£-~.~$~.~~~ fftrl:±L mffiml¥.J{lPjlI(~@f:eIl$~ H(n,k), $A;:.gI~U1LjpJ. e(n). A1*itl!-m, yen) ilJ~~~

00

yen) = 2: H(n, k)e(n)

k=-oo

(1.6.43)

Jtrr yen) E R" ,e(n) ERn. fIl H(n,k) E tr, x Rn., II X x Y .~VF~~~~A. X -Sf y

~

f1\ljfR~, X x y = {(x, y) : x E X, Y E Y}.

1Jj~ e(n) Ej e(m), n of. m 19!3L, I!P ;It.~lR.~ $ii Kronecker 8 ~Il,

Ck,,(n; Tl'···' Tk~·l) = cum{e(n), e(n + 71),"., e(n + Tk~d} = rke(n)t5(TI) ... O(7k~t}

(1.6.44)

.rtrr, ~A-"~:I: rke(n) 1!-t-~- n: 5C-*_tr(JJtiJit.

tml£ g;:ffl" at*!Jt H(n, k) !ji=; fI9~AJtlRjL ~ ill"*$i S: -=- $ ZiBJ ~ffi rfJ l'l:,#:tt¥F :1J:${Sii Bartlett-Brillinger-Rosenblatt (BBR) 0.i\, 'E1iJlJ,(~~:!mT.

:iEJ,l1.6.1 (~ffiijt BBR 0A) ;t-J'T8Ht (1.6.43) JESl~~iH1fiil.tt~ yen), ~~ }.JjIij,@j\ (1.6.44), _§./'tllilfim~1!$ H(n,k) ~~X<tilJlIHf.r,

00 oo

L L IH(n, k)1 < 00

n=O k=-<>o

00

= L [H(n, i) 0 H(n + T" i) 0··· ® H(n + Tk~h i)]rk,,(i)

i=-oo

(1.6.45)

·33·

00

= L [H(i}c0H(i+Td0"'0H(i+Tk-dlrkc

i=-oo

oc

= L [0~:~ H(i + Tdlrkc

1= -QC1

(1.6.46)

){ rp TO = O.

{E liE l!ILi:EllI ZFirJ, It fl'H!f ill, ~J ff.I Kronecker fRif?6 ~ 1iE -1;~'l:i1 ~ m J1t ARMA rlli a<J ~;m 1ft -I::] $: ffl it! AR §!: 1Il::t fa} £t(J ~t£rt 1JW -:$ ffi:* {Ii.IE Yule-Walker (MY'V) 1J~, 1(li ¥ 15 m MYW 17 ljj!Jn iF. ~ ffi it! ARMA ~ ~ a<J 5dl1iW, M Jeml ~ ,1f; ~.@ rn wilf rlJ 5·\j kmx [26] rf-1 rt~ ~jL 1jt.

fE:E!I! 1.6.1 rn liE H)3 4' TO = 0, !nU

= clIm{y(n),y(n + TI),"', yen + Tk-tl}

= cum {L H (n + TO' to)e(to), . ", i H(n + Tit-I, tk--l )e(tk_ tl}

10 Ik-l

= L' .. L cum{H(n + TO, to)e(t()),··· .ui« + Tk-l, tk-de(tk-l)}

to tk-l

= L'" 2)H(n + TO' to) 0) ... ,~ H(n + Tk-}, tk-1lcum{e(to),'" ,e(tk-l)}

tu tk-1

(L6.47)

Cky(n;Tl,···, Tk-r)

= L'" L[H(n + TO, to) (2} ..• 0 H(n + 7k-I ,tk-d]

t." t~_l

(1.6.48)

ilki&IJ J(to ... til = 1 ~ t, = to; J(to ~t;) = 0 tf ti -1= to, 'ij:.it (1.6.48) l'iTi'i~HttJ:rt: (1.6.45). (r:~t:f1(i¥.Jtfji£ T H(n, t) = H(n - t), _§_ rk€(n) ."., rh, mt,{;rt (1.6.16) 'ij)"rlJi\ (1.6.45) TIWNlli. •

[1] H. A. Horn and C. R. Johnson, Matrix Analysis, Cambridge: Cambridge University Press, 1990.

[2] C. H. Gollib and C. F. Van Loan, Matrix Computatiun, Balt.imore: The John Hopkins University Press, 1989 .

. :H·

iJ] G. C. Goodwin and K. S. Sin, Adaptive Filtering Prediction and Control, New York: PrenticeHall, 1984.

1'1) )'K'lJJl;, :l)(l.ft;{.1'f1t.L'L ~tJt-, 1i1I:lf'J.:"TlJ:JI(!U:t, 1995.

[fij O. M. Macchi and N . .1. Bershad, Adaptive recovery of a chirped sinusoid in noise, Part I:

Performance of the HLS algorithm, IEEE Trans. Signal Processing, Vo1.39, 583",59·1, 1991. [oj M. M. Chansarkar and U. B. Desai, A robust recursive least squares algorithm, In: Proc.

IEEE ICASSP, VoI.III, 432,,-,435, 1993.

[7J «fl''¥:+JJij» $l'~Hll, f,{$=FW}, .:ltJi(, ii'lI~fIlWilllttU:1, 1979.

jill H. Hen-Israel and T. N. E. Greville, Generalized Inverses: Theory and Applicationd, New York: Wiley-Interscience, 1974.

i:.i'; D. H. Br aridwood , A complex gradient ope+ato r ami its application in adaptive array theory,

Proc, Inst . Elec. En!,!;., Vo1.130, 11"-16, 1981.

[10] Ji\l:l!lV;&ZIIJJ'f. ~~~i"'it. "'f~'1t:**,I-lll!i\':&l!Vm • .:ft;;t, mttf:I~~[t:Ilnj:±, 1984. Ill) 1KlIlfit, t: tI£!,~tI;Ilf:RIJ*~iltr, ft~f;ilim_, Vo1.27, No.2, 126, 1982.

[12] X. D. Zklllf!; (~I<'IIj-~) and H. Takeda, An order recursjve gf'neralilled least squares algorithm for system identification, IEEE Trans. Automat.ic Control, Vo1.30, 1221~1227, 1985.

[1:1] X. D. Zhang (,KII'!-it) and H. Takeda, Order-recursive methods for instrumental variable estirlCLtes and iriserumente l variable inverses, Int. J. Systems Sci., Vo1.18, 1943~1951, 1987.

[['11 P. Lancaster and M. T'ismenetsky, The Theory of Matrices, K ew York: Academic, 1985.

[If;: H. Kiendl, J. Adamy and P. Stelzner, Vector norms as Lyapunov functions for linear systems,

IEEE Tram. Automatic Control, VoL37, 830",842, 1992,

[lb] I':. Deutsch, On matrix norms and logarithmic norms, :'-J'uiller. Math., VoL24, 49~51,1975. [17] \V_ Hahn, Stability of Motion, Springer-Verlag, 1967.

:JHi P. Hartman, On completely cont inous Hankel matrices, Proc. Arner. Math. Soc., 1958, Vo1.9, H62",866, ioss.

[1!1] H. Hanzon, The area enclosed by the (oriented ] Nyquist diagram and the Hilbert-SchmidtHankel norm of a linear system, IEEE Trans. A utornat.ic Control, Vo]'37, 835",839, 1992.

'>mj X. D. Zhang (11;: \\fU:;), On the estimation of two-dimensional moving average parameters, IEEE Trans. Automatic Control, Vo1.36, 1196",,1199, 1991.

1'2l1 R. Bellman, Introduction to Matrix Analysis, New York: McGraw'"VHill, 1960, ch.20.

[2~!1 J. \V. Hrewer , Kronecker products and matrix calculus in system theory, IEEE Trans. Circuits "lid Systems, Vo1.2,"i, 772",,781, 1978.

i2:1] L. A. Zadeh and C. A. Desocr, Linear System Theory: The State Space Approach, New York: \'lcGraw-Hill, 1963.

,;,!'ll C. G. Khatri and C. R Hao, Solutions to some functional equations and their applications to charactcrizat ion of probability distributions, Sankhya: The Indian J. Stat., Series A, Vo1.30,

J(i7 "-' 180, 1968.

12.')] A. Swami and J. M. Mendel, Time and lag recursive computation of cumulants from a state SP"cc rnod el , IEEE Tr<1JIM. Automatic Control, Vo1.35, 4'"-'17, 1980.

:t£ fa %!lJ: 1I1'f f£ * jf!I ¥!J - ® Jt. fl *1 n tii VJ (t.I iRJ ;I: fJI.9£ ,*, it ® Ji§ Il$ Jl fl t¥ ~ I¥J 1i:1ll1: . ~~~.~.~,*.ti~@*1.m,*~~.~~m.~T*=fi*-~~SllM,ftfi M~tt-®M%~~~.~~.~X~-&M.~.~m~ •• ~.

JI3 W jlJj 1'- *f ~ I¥J rPJ II: .

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xt :AA ~ Il$ .n. ~- !;( -n1 mt .

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(2.1.5)

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ili.~~. ~.~~~~M-fi~~l.:.-D~~.~~8-~, #~.~~~~ •• ~ ~ tr ff1 ~ -:t" JtJ #tl. m; !¥J "

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·42·

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i=1 j=1 i=1 j=1

n n

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)Em 2.3.3 i~ Iljj trace ( AHA) ~ M ;tlHtl~~:S:. ~~~~~rr.~~~(~~.)~~~~*M(~~.)~~~flM~~tt~~A~ tU1~ik.

2.4 Hermitian jf )t$

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(A·)'l' = [aj;]_ )iE1l$ A ¥J~j]~ Hermitian 1¥J~1i Hermitian eg, ;t? A = ~AH.

H ermi tian ~r: fV"f.l't 1f V_rf'l1_lffi: :

1) ~ M:¥J- A E en)"", m)i$ A + AH, AAH fD AHA .-I$J;:Ii Hermitian I¥J.

2) _:fi A J!l: Hermitian i¥l> !JlrJ A" xt Efi W k = 1, 2, 3, . .. WI! ~ Hermitian OJ. ~ A :if Ji!o

~)::~~ fI<J, 1JlIJ A -I _;It: Hermitian ~.

3) ;fi A fU B fEk Hermitian en, !J!tl aA + bB X1JiJf:ff~ti: a lfl b:i$J~ Hermitian I'J!I.

4) A - AH M fJr~r A E cnxn ;;It:/Y.. Hermitian ~.

5) ;t!f A fU IJ :l! Ii Hermitian e<J, DW aA + bB M J9f ~. ~ lil: a fD b .-I$J ~ & Hermitian I¥J.

6) ::!If A M:: Hermitian fI<), jJJi1 jA (;It 'P j = yCT) J! Ii Hermitian f1{J.

·43·

7) ~ A J!& Hermitian e<J, mu jA J! Hermitian 91.

iN fE n X n ~ Ii$ Q HI n X n ~ Il$ A ft.1 n 1"*f tIE. rPJ" Q1' ... , qn ;fiSI m , ITff.§. n X n X1 jij~14 A = diag(Al'···' An) EB A iJ(J n -t-~~ e<J~tIE.uHIIJ£. f;f!, ~~ A ~fl n 1"* ~~.~~#.~m, ~H&~A~U*~~

X9=' Q.fI:l A Ji!:~~~~~.

:im:!ili!: ~~ ~::R'- ~ ~ A iBJt.1f Hermitian ;tl ~t':t, mlJ A 1fill- i't.J 5t.,

}JT:milJ...t.:i:t~j\, ~,:@t Q-1 = QH:fIl A = AH. :lS::l:I!;f;:1t, -1" Hermitian ~!i$A1f~ I'fl ~ tIE. -m, fi'jj '§_~*ftiE -m S-::R'-, )J!U~ tiEinJ :iUli.J1t - J.E~~, f!§ ~ QQH = L qiqr = I. ~ J1Xlh5t Q Ji::W~Il$. f§Jlt, Hermitian ~1l$.~t;lflJfflW~¥A~m!X1Jidt, ~p A = UAUH, ~mU.ffiW~~. ~f~-~~~.Wtt, aillm~OO~~Rf~a.~~~.

:lElI. 2.4.1 (Hermitian mll${fJ"itt)i::@) 4(- A E c=- )9 sm, mu A ~ Hermitian ~ Il$, ~"§'i£~.fftE--t-@~1l$ U E c=» :fO--t-~fI<J~mmll$ A E Rnxn ~~

(2.4.1 )

it A ~~ Hermitian (~~*) ~Il$, ~.I3..i3Z.~fftE--t-~1¥.lJ.E3Cmll$ P E tr=» ffi-i';l; 1¥.JX;j"1FJ~1!$ A E H"" n 1t14 A = PApT.

P:: (2.4.1) fI15}-#~7R*A~""fWB<J(JiJ:l:5'~~#m,

n

A = LAiQiQf

i=1

(2.4.2)

5:t (2.4.2) 1it~11Omll$ A I¥.J "if:5tM". ~ts:x*j\

(2.4.3)

:i:&:!fl1&.:iEMlf B<J~tiE mfl)~~f~.

Ej Hermitian mll$ A ffi:XII*B<J=;;.:~~~t-F"I: (x,Ax) = xH Ax = L 'L,aijxixj. =

i j

l1i:~:f/j;f'FRoiE)iUj{J, *;t-J@f1f~~~$]fl x m1f (x, Ax) > 0; ={Xft'!~*"iE.:iEI¥J,;t? (x, Ax) ~

O~.~Il$A.~~)i:{fJd*J.E)i:OO, ~*ffiWI¥.J=;;.:m~~~I¥.J.*J.EJE~. ~.§_& ::ti Nfff ffJ *f tIE. -m $ ~ J.E a1, Hermitian m I!$:l! IE JE ~; §.§. {R ~ F.Jf ~ (fJ *f ID: ii1i ~~ 11\ lit, Hermitian ~Il$~-¥ jf;E 09.

~ Herrni tian ~ ~ £t'J = IX ~ W tJ]:ffi -* I¥.J:!EI:: Hermitian 9ie ~ £t'J Rayleigh Iflf (ffll1 iB 114 Rayleigh-Ritz tt).

·44 .

~.Sl. 2.4.2 Hermitian m~ A E c=» ltJ Rayleigh lfliat Rayleigh-Ritz it R(x) ~-t t-f. fi, J? _'J.. :h

R(x) = xH Ax xHx

(2.4.4)

;tt~ x ~ A l¥J~iiE[ii]ii.

:X f Hermitian ~ '* a<J *f tiE {j[ ~ Rayleigh jfi Z Iii} !ij '* ~, ~ 11'] flU T;:E 11.

~I1 2.4.2 (Rayleigh-Ritz ~:rm) 4t A E cnxn £ Hermitian tn, #~ A gq*ltHi~ :i!±lltff

(2.4.5)

AlXHX :$ xH Ax s: AnxH x, Vx E en

xHAx

Amax = An = max ~H~ = max xH Ax

",;<'0 x x ",H",=1

xHAx

Amin = Al = min -H- = min xH Ax

",;<'0 x x ",H",=1

iiEa,ij ~~ A ~ Hermitian (fJ, J9TJ;l.fftE-1'-Wm:I$, 1t1~ A = UAUH, Jtrp A =

diag(A!, ... ,An). X't'F1f-JlJlPltt X E en, !t1l'lff

-n

= LAiJ(UHX);12

.=1

n n

Amin L 1(UHX)iI2 ::::: xH Ax = L .\](UH x)il2

.=1

;=1

n

< Amin L I(UH x ),12

.=1

n n

L I(UHx),d2 = L Ix;12 = xHx

;=1

;=1

, H _ \ H HA A H \ H

"IX X - AminX X s: X x::; maxX X = AnX X

(2.4.6)

·45 .

1M _§_xt An lli.1i ~ M (j{J ~.:W:. ~J 1R ~~ ~ it 'if $; M.:r\ (2.4.6) ~ l±l. :.{!,' X '" 0, 'It fl'1.!J!IHfllayleigh IN til] 1~ 'J!f :it::

xHAx --~ <A

xHx -- n

xHAx

max ---. - = A" ",",'0 J.:H a:

(2.4.7)

max xH Ax = An T.H.r~j

(2.4.8)

)!;.t A I ill PI ff: ~ 191, i.iE IlR . •

.1r ffi%!.± J!I! r:p , 1it 1t fffi' ~. i:j- j4 - -1'- Hermitian H1 ~t. A f1<J 11~ 7.: !o'UlU\ *:fiE til. * ~ i* (power method) ~ * M: ® *I ilE fft f~J'-' # 15 it:. 17IJ RU , fj J:aj ff J.t 1)] Mi' It'l 11 x 0' it PJ ~ 1-\:. ~ i~ J+1 tt '1115;fj[

(2.4.9 )

(2.4.10)

i61~Jjf'i~ff~][~IJ Xk t&~. tElGJ2I·- Wi1Htl e<J ok #J:lit~ kf>'f1IHi'L xi< J!X1 Ell ~*f:{tf rtJa. ep if W Mi f<iJ it Xo -1~ _!:oj :Itt A ~ tIE m: x.J EIl!¥J ¥f tIt rtJ .1£ it, !& f;l.J lli M ~ i!i liE tf\] .

11 T 1"* il] iIi IJ'if lIE -m tC& ~ 2:.:\,J}\if!J<J if tiE (.iJ:t, 1X: in 1i1l!1~ jt: (2.l9) ff

(2.4.11 )

(2.4.12)

*~~~ffi~~MMN~~*,PJ~*ffi~~A~M~%~iliRM@~M&~ •.

Jt 1nt 1m T: @ YE ffl * ¥ i! *- lfj J A rrtJ M 1- t-'1:fiE 1ft CT (~- '-11> X1 J.0L j) A l¥J:¥:.:k: ffl tiE 1M) 1 .:fU·J~,tJtj -Hd1ili~Mii~~~.ttt*HiEffi, MP#J·--1-~ k ~~~; A" /JtNutt#: k - 1 I¥J~~ A J. .. t A k 1 fJ< J .0 7( % 1lE iI1l b;t -M: li~ Wf A k (Jf]/j'\.:y- CT m: m .!{i A: 'J ;:1,; f,J tif.l ~i. hY #I J! - }~, ;W.;fJJ irt·7t ftYj' '1;:lOt (2.4.2), it 11'] ~ 1~iIJ if I¥J W. Wf,

(2.4.13)

·46·

~X~~E$, ~m*ilim~A~~~~Mm.

~J( 2.4.3 4- A E en)(n ;l!-t- Hermitian ~Il$. A I¥J1m:Yt i(A) JES(~'=:'.JGm

i(A) = (i -t- (A),i_(A),io(A)

Jtrp i+(A) j, A fi<JIEtJ&m:I¥J-t-:f[, i-(A);Il A 81itt~1iEfiHt1t-~, iotA) ;l!~~tiEm.!f.J1- 1& ($~*f{j£-m~$it.~m:lttE!*J)· ~9~, it i+(A)-i-CA) P~1fl A e<Jf,f~:!:;: (signature).

R~, Hermitian ~Wt: A Ettl-i'kffi rank(A) = i~ (A) + i-CAl tR:5E. lli.~M~W~~~OOe<J •• ~£.~~ ••• ~mm, fthl.&.+-.~~W iT!1lI fl' m .

fIIij JE *"# 0i.i = 0, Ii - jl > k 1¥.I~~t- A E emxn ;f$~ {IHf'.!W jl$. ;fi aij = 0, Vi > j + p, !M.~ A J'!fi"T* ~ p ; ;ff aij = 0, Vj » i + q, !i!11lf:* ~ A Ji:f;j'_l_ *' ~ q. Tlti ::l!-1- 8 x 5 1tr~! ~. Wf- [JlJ {fr) T , ~ on ~ F m:l 1 :fILl. m 'l\1 2:

x x x 0 0
x x x x 0
0 x x x x
0 0 x x x
0 0 0 x x
0 0 0 ° x
0 0 0 0 0
0 0 ° 0 0 Jt9=' x ~~1£~1~1=Jt;*.

* ~ ~ Il$ eg - fiI! *f ~ ffl :it :I! 4- ·lMI'J ~ #}IJ!f; ~ JJm Ettl, 1:::mt!ik =- Xi Jfl :l<E i!$. A E en)( n W )l$!J:-=:m1fJm)!$, $i&~ Ii - jl > 1 llt 0ij = O. "'FWD:--1- 6 x 6 :::::~;fHo);E)i$rnw!J~,

x x 0 0 0 0 x x x 0 0 0

o x -x x 0 0

o 0 x x x 0

o 0 0 x x x

o 0 0 0 x x

ill!. m, = xt if.! W ~'f: ~:M: L T * 1l :fr:)g 1 I¥HIHW 15')l$. ~ ~~ -15' jJff, =- ~ ;fH ~J$lli.

Ji:: T.Ii Hessenbcrg ~ Il$I¥.J -1-~ {VI].

n x n iE1J~)l$ A :fJ'~_1:. Hessenberg j;.E')l$, *1::~;fnB:it:

all a12 G13 atn
021 a22 a23 a2n
0 °32 a33 a3n
A= 0 0 °43 a4n
0 0 0 a",n-l ann
. 47· ;'!£~t A :fIJ;1fT Hessenberg ;Jtil!$, ~ AT ~_t Hessenberg ~~ .

.. ~ .l., .=. x..t jfj 1f: M=- ~:i! -1- ret Jt...t. Hessenberg, JZ 11':: T H essenberg 1't.!.iE 1J 1f: Il$. WlJE~-jtF aij = 0, i > j ~1E15t£~ A = [a;j] ¥J;j] ...t-=::Jll Hoi~, Jj;:-llIIJI:5it 1>.1

[all 0 j

a12 an

A=

a;d a~2 .: ann

~MIJ.ijg, lixt)fl~jG#;I1J1J 1, mLt CF) ~ iffmIl$1l4i~.tL...t ( F) .:::.:m~~ . .tVX>t jf:J ~ 7t ffi' f5] ~ T ~ . it fr'] MIt $ 1: (T) -=:: ifJ ~ Ii$ ~ p.f;lt...t CF) ~ jfi :w. !l$.

.l; (~T) .::::.iHr.EM'r:fltQ, ~.!ojti:*{)}~...t (!!!(T) .::::.iff~[)tj~.

~..EI. ('{ ~~:M ~j[.*i1g~~T~It-L -=-jfj~~;i: Iij" ~ ffJ. t11.11t, il£f&~ ffJ ~li$~T-

PI ~ f8 .F 00 ~ 1f !Ie :=:: Jfj m 11$ fJi 1(! ill: :=:: 1H ~ I!$ 99 ~.!=j J! rtJ )L 1'- ,tl:.&t :

1) ..t (~T) .::::.jijj{!~e91!!E!:...t (~T) ;="~%.I!$.

2) Wi-t 1: (elT) '=::1h~~(j{Jl.R~J:. (9X;T) =::JHJeIi$.

3 )!f!~ tL I_ (E.lt T) .:::.:m ~J$ ~ ~ ~ iii {}t..t (!it T) .=: if! m Ii4' .

4) Wi1-~·Ul...t (EXT) -=ff3~~I'fJ.ff!.JVI~·tI...t (!OCT) -=#l:);p'jt$.

til- JE -1- 1: Hessenberg m ~, tiT iJ.fR ~ ~ JmX>j" 'B i!t fi Q R 5J-.fff, :i!;Wi; ~ 3T iN £f.J Hessenberg QR :5.TM . .:1H~. ~)£~Jl$. A fll B, ~fr'J~~~ A ~~nX....t Hessenberg WI1$, B 1t ¥A 11 J:.'=: m ~ ~. :It:tt £ Hessenberg =- IMt mY H~ Q Z £- m . .i! @ 5t fliftE ~!l$1'fi it • .p g.+% •• £f.J1fffl, ft~.{£T-.A~W~Z.

2.6 Vandermonde:tE.)t$

[1 X :(:2 x3

111

1 x2 x~ x~

A= . . . .

. ~ . .

. . . .

1 xn x~ x~

X7-1j

.. -1

•.. X2:

.... -1 ... Xn

(2.6.1)

ttP ~iJ~" A = [aij] I'fl Jt*"ltt «, = X~-l I¥.J %.J1:.

NT Vandermonde ~~, FE~'

ri.

det(A) = IT (Xi - Xj)

i,j=l i>i

·48 .

JiJT J.lJ. ~ _§.'IY. ~ n 1-~f{ =. X2," ., Xn 4l- ~1l1, Vandermonde m'*~Fttt~.

JfHOA (2.6.1) I¥J Vandermonde ~Ii$tt"£ tEMffiIfriJ II q:.. :i!~ In1ji*JireJflfr f);::1J 11-1 lXi¥J$J!ltP: p(x) = an_1x,,-1 + a,,_2x,,-2 + ... + alx + ao, #~*'E~JE

p(xd = ao + alx, + a2xI + + an_1x7-1 = YI

p(xz) = 110 + a1xZ + a2x~ + + an_tx~-I = Yz

(2.6.2)

1\ rp Xl' X2' ... , »; fI1 YI' YZ' ... , u; :tJ e. m. Mi{fi ** (2.6.2) J!-~Ji~H!1ffliL ~fl 11 1'15 WlIl n 1-*:m~~ aO,al," ·,an-I. 1Jtil~llTl2.(~ft Aa = y,::tt9=J a = [au,a"", ,an_,lT, y = !y" Y2"", YnJT, lUE ~ A £ -m:rt; (2.6.1) J9f~ag Vandermonde .9€1l$. ;fi~~#.i. xl' X2' , •• , Xn ~:;f:ffi ~j, IJ!!HilHi!I \'iiJ mL~, 1f -1-., ~ 11 A :(£ :l!~m ()1. T ~ ~~ ~ # i¥J.

tE -m' % M: II J:f-l ~ 'It:ill f1J :¥ ¥I 9~ ~ A a<J Vanderrnonde m!l$.

~!J 2.6.1 (if ~ Prony jj'/t;,) tEllr1W:1~,O!agtt M Prony 7J'm.rp, w~~~fiJEJ!!fl p 1- m:t[ ii3 ~ (!{J ~ iJn , i3: ill m ~ Mi fl;ff if :a a<J ~i'iHR, -MUlL ~ $. ~ ~Il JE.IN .:r. T R::, i'!'i 1ii a-r I'm ji§ lfl

p

xn;';' I>iZi,

i=1

n= O,l,···,lV - 1

(2.6.3)

bi = Ai exp(j9i)

Zi = eXp[(ai + j21T!i)Llt]

j(:rp Ai RdWUi. e, 1!flHll (SJU.}J[), (li tJ~l1JE.lN.:r, t. tJi!H%~.$ (Hz), Llt ft~*ff.rilJIlRi (:tV). :it (2.6.3) e99iI~J$%ARo

1 1 1 1
Zl Z2 Z3 z~
z2 z2 z2
1/>= I 2 3 Zp (2.6.4)
N-l N-l N-l zN-l
Zl Zz Z3 p
b = lbo, "1, .•. , bp]T
~ 1- ~ - ]T
x= Xn,Xl,"',XN-l 1m.r&, ~1i{x~ Zl'Z2"",zp ~=-G11IIa]ot, A (2.6.4) I¥.l Vandermonde n!.1l$ if> n:hfi:VU ~ a<J, HP rank(A) = p (iiil'M' N » p).

~-¥11~&

N-I

E = L IXn - xnl2

n=l

·49,

(2.6.5 )

tt £iiElffl, :a: (2.6.5) ~ I¥.! pH <p l¥.!itJ1P~J l), -* * iliHt, {1!:f·lfftffJ:7C'$ tt Vandermonde ~ Wf Ef{J *didE Jt:, ~ a~ ~ ][:m fU ffl

[I'll ... I'lp 1

~1I ~ _: :

. .

I'pl I'pp

(2.6.6)

(2.6.7)

A (2.6.4) Nf 7F B1 N x p r.e. il$ 4i ::Ii:::{E ffi .fi} ~ l.!I r:p J E 1\12 JtI ffJ Vanderrnonde m il$ z, --. :if:~L1H~-#Sj.i\ (2.6.4) ~t)JfJ Vandermonde ~r$, t:~Ji::nJ"+Jj!1l'mEfJ'it:l:ffi lj.5t~ (MUSIC) ;M:r!r:p 1±I~(t{rTjU%:a:e8~il$,

1 1

e.\d

e),d(~-l)

m %:j: ftJ, ~!Jt m iQ fll;lt t; - ~ m % &l: JH! Ib1 M W{i ~ X1 Vandermonde J€ Ii¥ $: ~. "f 1Hf fd:i1 Vandermonde 9;E:l1$ O<J .J: ~ -2- j;\; [7].

'* $ "FY"U n X n j:[ Vandermonde 9:eJlff.,

1 1

an

. ,

a,:-l

n

(2.6.8)

(2.6.9)

Vn(au···, an) = IT (ai - aj) l:::;j::;i::;n

(2.6.10)

X1f 1::; k < n -1, :5I5mfjyrj;Lt;

1

an 2

(2.6.11)

a" "

·50 .

i OJ a2

! (l~ 2

\.,.0 { . . . '_ I 1 a~

n"al, ,an.! - i .

I a'L' 0:;

a~

1

1

I 1 1 1
I aJ (12 an z
~':!+i ((tl····, an';:) = I a\.
ilZ an zn
n ;It rp z h -1!5t Ail:. :G£iiEf!Il

n

1/~''i(al,···,an'.o) = Vn(aJ,···,an) X II(z-a;)

Vn+! (u l' ... , U", z) -:="\.,,:.,n (Ill' ... , a" ) .on - v,~ 1 {([I' ... ,a,,).on-l + ' , .

i· ( .1) n F~lV,~\ (11, .•. , a" )

O"o(at,"" an) :..' 1

0"1 (a ... a ) C"C a 1 + ... + (1.

II '"1"1. n

"

Il(z -- ail =O"rJuj,'" ,an)z"·- 0"1(a1,'" ,an)z,,-l + ...

i'l

t;;:g..xt (2.6.16) -~ ;:1': (2.6.19) 1~¥IJ

(2.f:i.12)

(2.6.13)

(2.6.14)

(Vi.l,') )

(2.6.16)

(2.6.17)

(2.6.18)

(2.6.19)

(2.6.20)

. 51 .

(2.6.21 )

#J.it (2.6.20) ~Art; (2.6.21), ft1n~

(2.6.22)

I

(2.6.23)

(2.6.24)

A-1=

0" .. -1(a2,a3, ... ,a .. )

(_1)n+20" ... ~2((l,1' <l.:!,' .• ,a .. -l) n-l

rI (a." - ak)

10=1

1

n

(a2 - all II (ale - (2) 10==3

n

(a2 - all II (ak - (2)

10==3

n

(a2 - ad n (ak - a2) k=3

71-1

n-l

n (a .. -ak) k=l

(2.6.25)

2,7 Hankel;;e ~

(2.7.1)

·52·

~M, -R ~ffllJ ao, at,· .. , a2n-1, a2n ?il"":iE, Hankel ~ ~ fiJ -1lItJ]Q1M; I:B a;j = ai+j-2 mJi!. $'9; 1:., Hankel ~ ~~-1'Y:YX1JA ~l:.J{.;g11l [llJ 5G~ ~~ Il$.

1N1Et@"lli T -?tl~~ 80,81,82, ... , B1r']J:E){ T -1'-7C91M-X'Jl*~:lI$:

S ~ [:.: :: :.: ::J

(2.7.2)

It1rTf*W.1l$ S jJ)EJ1M" Hankel ~Il$, :ft-OOiC,fi' S = [Si+klo· tE 1.2.4 1j>.119"i"1n::1¥J Hankel.~~~__t$t~7C~M- Hankel mll$.

TtfiH'~ ~~* ~ T 5tJ1M- Hankel ~ ~J'ttr:¥ffif9.: ~ .1E?t-&:'JI*#.

:iEil 2.7.1 [3) 7C~1ift Hankel ~Il$ 5 = [si+klO' Aff1f~fk r, ~1itt~1ftE r 1'-'*

r"

81 = L O'iSI_i , l = r, r + 1, ...

,,,,,1

(2.7.3)

J1t. JL, jj;: 9=' r :1t:: J{.1fitttm I¥J il/J\!Jrf~.

\iE1lJJ ftrl!ili!:~~ 5 = [si+klO' Aff1fli.fk r, 'JJ~2" it)€ll$9<]liiJ r + 1 fi "l'U"l'2'·'· ,1"r+1 nd3U1ffi:X:!i9. 51J!t. :ff:1£-1--lEIH& h:-:; r ~~D 1'1"'1'2,··· ,1'h ~ttft~!I!J'Lrn, mfi 1"h+1 ;;!lk:i!@.fjl'fl&t'jim,g..:

h

1'h+1 = L O'i1"h-i+1 i",,1

fJl!.1£:ot§"m1T 1'1+1'1'/+2'··· , "1'1 +h + 1 , jj;:rp I n:-ff:l:1~ffi.m1&, IE Hankel ffill$ S I¥JMi~M ~gm, ~@n~~~rl"ffi~"®OOl¥Jh+lfi~~. A~**, .~~~~mftl+l 71J (fJ ]I; *. . (!;1 Jlt,

"

1/+h+1 = L O:il'l+"-i+l , l == 0,1,2,·· .

~#-*,~.S.hfi~~l'flff.fi.~~*~~.ftWhff~~ftm~,_~.~ OOhfirn~ttw~. tta, .ROOhfi£~ttD~~. ~~m~~lli~ffi, mll$OOar

h

R: h. ftQ:llf!: h m r ft~, *WitII ~ lliftfi:j:C* I'I+h+1 = L O:OI+h.-i+l l'fliiS, Jl!U.:tlJ¥lJ~ ~

i=l

(2.7.3) it.

&1".., ~~f4: (2.7.3) ij1ij)E, Jl!ljw.~ s fJ9tt~fi (~J~) .~ 5 -ru- T fi (~7t1) (f.]itfi tll1r. IEJJlt, 1E~ 5 fiJPJi'1rM-lt:*:f r I¥J:&T;it;HJ~f~, *1l~1f¥ A ~.f9.:; h::; T. ~ [ffl, i!-~:fPJ1rn/J\T r, 15I:1Ji6:Xlt,*lL ~ (2.7.3) rtJ~~M-1't~ r IJ\I¥Jm.tt!.J1t.J'L, rm ~~~2e~.~.#ffi*~~. •

Hb~ 2.7.1 tQW:X9JM" Hankel ~Il$ S Ji!.~-1fIll\!~ r, .DIU

$~ 1:., fA:¥.: ~ i\ (2.7.3) .ilY J.2J.W ~ !1i#,:= ~I!$ s ~ ff.n (1)£J~) m~jiHiJOO r fj (ii.XYIJ) (fJt:ttHII ft. 1EJJ.lt, Mlfi~ r fiJtt:tl#-"T:it~jjJ~Jij%i\ «t: .. ~~, ;tt~ 0' n::~ 1'.~~. EI3.tltPT1~/F~:rt Dr" oF o.

·53·

I¥.i~~f 1, {H_.MIliJIH D, =--= So = o.

T IHi i1 it 7C 0/{ ~ Hankel J;21$.":oj ff Jf:rt ill fi Z IHJ ff.J ~ #-. ft~O:E1'Ut-*1iE1-fl~!Lj't~l1 R(z) = g(zl/h(z), Art<

hez) = a()z:m + QIZ",-I + .. 'arn_IZ + am g(z) = bozm + b1zm-1 + ... + bm_1z + b."

fJl tE ¥J tti ~ R( z) ~ fF z ItJ ffi.lX * l'fJ 1,H& ~:

R() y(z) . -I + -2 +

z = h(z) = .50 T 51Z s2;>; ."

90*l'tit'J: R(z) (t{JJ'Jfffm,~tE.wt;J1mlJE R(z) ---+ ex; ~JiJT1r z ul:ftIH\f.T~-¥~~ a ft.l1Mlr-1, Izi < a,lJ!rJt.~~1H&X1-t' Izi > a !&~. Jfl5t liJ: h(z) ~J*_J:..J\ ffJ pijill, 1~¥lJ

(aoz'" + a1z",-1 + ... + am __ 1z + a..,)(so + SIZ·-1 + S2Z-2 + .. _) = boz'" + b1z",-1 + ... + bm __ 1z -+- bm

aO'~() = bo

aUs} + a1 So = b1

(2.7.4)

l = rn, rri + 1, ' ..

(2.7.4')

1- cti = -(1,;/ao(i = m,m+ 1, .. ·), ~fi'J~"i1JJ;J.ffljt (2.7.3) ~':l'3"~*j't (2.7.4'), Jt>{:l r = m. fMlti:. 1tH¥;·fJ::J1I12.7.1, ~:ff*~ 5(I1"Sl>'~2' · .. l¥J:::t?l-l Hankel_n:iWf. S = [si+kJO' 1i'J~ JJ{fW* (::; ml·

-tfllX, 'O:W: ~ j!$ 5 ~ {rtf m (fj~, liN:.:1: (2.7.3) Jli. iL, ;i! ~ 1J W IlJ J;J; m j:\ (2.7.4') 1f. "1, Jt1' m= r-, T~, :l1U*-ftiJ:H:.:t (2.7.4) :iE1.. -illl'i ba,bl,'" ,bm, -tl!;ii'J#.t:f"f1J-**:rt,

llt.::'k ¥ J-\q-tHj,jtu~nl't ffJ 5J1_i:l& 'j,Wd& m JPtlt.i-'\ (2.7.3) /VtiL It) :I¥d'~ rn, m/£~ 2.7.1. Q l' hH' rn m it!: ~ T 'lli ~ s a<J~. _L:ii_ til * ilT 1:J Jtj F 00 ffI At ~ *- ;t.i£.

~!.f 2.7.2 [31 },{i_PI~ S = l8i+klon1f1r~*BH9~, ~_fi1£~m_~

- :>4 .

ill: ~~ z ttl 1f m! :it i'li l\(. .:f3 it .# tFf 1£ tR 1:: ft1, joE JIif 5 rt.J ~ ~ =r- rN ~ R( z ) 0iJ tIk.Q: 1'- ~, ;Jt 'l-' § ·h5 f& #., ffJ $ .W:!i tf f;j.

k:@ 2.7.2 tEJ\\JJ+j ARMA ~ ~ ill H ffidJE YHR ftt ~1~ ',iW 1r ffllYJ.

ARMA ~ ~ I¥.J (If W: llIoJ IE. Hankel:t21l$ 4- - i~ tt [!ij"::r:: 5t J¥J [§ '* ARMA 11131111

P q

L a(i)x(n - i) = L b(j)e(n - j)

(2.7.5)

i=O

j=O

"~:1::, Jtrp e(n) ~-1'-iti)jllJ tlJIl1lJ'F:JIj. ~x-m:ti, iNk' a(O) = I, :# _fi MA M-~ q /J\ f!!.X:~T AR Mlt p, ~p q _.,; p. ARMA m~HI11tapJ§~ H(z) k'5f..J.J

H(z) = f h(i)z-i = ben) + b(l)z-l + ... + b(q)z-q

i=U a(O) + a(l)z-l + - _. + a(p)z-p

(2.7.6)

a; = n(p - i) ,

i=O,I,···,p

b. = { b(q - i) ,

t 0,

i = 0,1,·· . ,q i=q+l,···,p

}U:~, 't-t AR11A(p,q) ~~ (2.7.5) ).ciJti.lEEI! 2.7.2, f\t{I'J.il.&Pfr~W~~i;: ARMA m~I¥.J{tj' /J( iijIij}i\i: h(i) ffJ Hankel ~Wf.I¥J~~T p, sn

[hen)

h(l) rank(H) = rank h~2)

[II R. A. Horn and C. H. Johnson, Matrix Analysis, Cambridge: Cambridge University Press, 1\.1\.10.

12J C. II. Golub and C. F. Van Loan, Matrix Computation, Baltimore: The John Hopkins Uni-

versity Press, 1989.

[:-IJ F. R. Gantmacher, Applications of the Theory of Matrices, New York: Interscience, 1959. [4] *'lifib., >l11;:f;'f"H1I'1L ~t;ff, ffl''f:k'*,,'fnl&ft, 199.5.

[5[ S. L. Marple, Digital Spectral Analysis with Applications, Englewood Cliffs: Prentice-Hall, 1987.

[fi] .J. \V. Brewer, Kronecker products and matrix calculus in system theory, IEEE Trans. Circuits and Systems, Vo1.25, 772",781, 1978.

[7] V. E. Neagoe, Inversion of the Van der Monde Matrbc, IEEE Signal Processing Letters, VoL:}, 119~120, 1990.

,55·

~*~~ftR.~~.*fi.~.ft~*.W~.~~ffi~~W~~~, t#.§ ~m~5tM~=9l:==1'-¥-H*~~~~m~;fJl. !!iIJlt, ~~Ef{J5t"'~~U;l!~~{R5tM (SVD) irl ~ 1iE {fl ?HU (EVD) :ff ffi -f} ~ Jm "f ~:tf ~ it ttl fi' ffl.

ff~*~tt~~~~w~~~#~~~~~~~, ~~~*~*~~**~~~, '~fuiJfE~!ff A lJ.~ ~ Jt1mfl!J.1'-~I5L, ~IV~!E~ (1(]~1N:. *.t4'ititxt~ Il$ e<J ?tffRi!tn 5t ~, 1t t.!( ~ 11- ~tHi· # ~ I!$)t IW.

~.Jt.~§~~~rl~.~~tt~.*~.~. ~#~.R.W.m~¥@M~ m.~~~.~.~ .. ~~&ti~.".~m~tt~.~~~.*~., &~*.~ M&M~."A¥, ~~N.*~~~*M~.~rl~.

3.1 JE ~ ft J,b

~ffl%~~~,~$m.#.oo§~~*.~~OO.~~,afi •• ~.N.~~~ ~ f~ z fill e<J "Bp.I1{". i! - BE ${ .5j :m Il$ tf(] ~ $ ~ tJJ 11l ~.

«.1:1: x ilJ rJ;]:I: y .L ~12:~ iiHl= Py (x), 'f:: ~ - ~!:j y 1I>J1.f rffj ~ rilJ it, iffl1ij(:*1t~ T x fE y 1.f r~l .l; ~ KJ!l. Jlt N: Ibff.l

(3.1.1 )

*~.

~~¥f-(.i]i!5tfrllf.~1j1ij1-IE)EffJ7tr&J:i1:. "!mOO 3.1.1 J9f~, it1nfr~1-Jl1J. x lD b. tJr.

::#f x t2:J;fIJ b, r""1::f2:~ P~(x). ?J.\€:fff x 12:~.¥U-Sj b ~ll~MPf[[j 61- .L, F~~jl-t-N ID Pb1-(x). N:~ Pb1-(x) ¥l\1J Jtill: x ilJ ~ I: b (fJ 1E3t19:t:. T~, J.t:jij3 1-:19: ~~-#;JfJt T ~M~~x~~%~~1-~.m.~.M~e<J.~,x~~~~~~~1-m.~~.z~ C15 $; ~ it), aD

(3.1.2)

Po(x) IE 3.1.1 1iiJ1:i¥l%M-

1£l::~=i1UfJ{§IJ~~, b_L :R::-1I~, rm pb_L(x) 11 -~ rtJ 1:. tE!! i~Ht (fJ m (5C -f, b_L ~!.it - 2t!t B t,ij; ( 1m :IJZ ffiJ) ,ffij p/ ( x) i13 Yt.D9 -&i.15 tE b_L r*1 fflHtJ - rtJ :1:.

J! - AA~, .ft 1i'Hf ¥U -Y 5:: r8J iJlJjf ~ i9: ~. lEJt 3.1.1 (IE3C1~Ht~) 4t s < Rn it~--r ~r8J . .t1f range(P) = S, p2 = P :f1l pT = P, !l!IJ:f4F P E tr= n ;lto f1J =r ~ fiij S ...t 9<J .if 3C 12: ~ .

.mt~Lt.~iE5(.u£ YE~, * x ERn, !J1U Px E S .fIl (I - P)x E S_L, Jt: ~ SJ... .R:: S [r{].IE )tT ~2IsJ.

·56·

ilt----te-it!!., ;:f!f range(Pl) = range(P2) = 5, lJ-!IJs_):"t1:ijtl'~f~. :il;.::&!lJL !~--t--T~~riij(f] if. JC::tX :It :I! 11ft - i¥J.

!m -* V = [VI'··· ,viol Ef.J flJJ! -T~lilJ 5 n<J-ffi._iE3t~, _mIl P = VVT ~;llflJ S _tEf.J~ - IE)!:N:~. ~ V ill{t~-rOJ .l:I!:D V E Rfi Bt, P = vvT /vT v ~f1J S = span{v} J::.l¥.JiE)c f1t:l;f .

-T ~ IHJ !oJ iE Y: N ~ z. faJ JrJ - X>j"- X>j" ®. 'A. ~ fJ! f~.ft in jjf J). J£ _'X. j:IJj l' -T :2IHJ n<J BE! ~ . ill: 81 fIl S2 J! W' m -T~raJ, 1f _§_ 'E11'HI9!t~;ffi filJ. R~ dim(Sd = dim(52)· ll~ 1-T~ j'aJ tfJ 3!i $I; m

(3.1.3)

:;:E 5(, ;It 9J Pi :liHIJ S i .l; rn iE)t: jj( t;.

T~liijiert(WJJLfiiJmff [II fl.'iE 81 = span{x} jfQ 82 = span{y}, mfJ3.

UTe T _ T)V = [ 0 sin(81 -(2)]

xx YY . (8 8 ) 0

sm 1 - 2

ElTt.{ IlxxT -yyT112 = IIUT(xXT -yyT)vlb = Isin(Bt -B2)1· ~~1f dist(SI,S2) = Isin(Bl- (2)1, -tB~;liH~, ~-t--T'£ra] 81 :fa 82 G9~~~Ti!~-t--T~IilJ~~:4tS!I'fJIHa. 3flJ.MH2:~ Pb(x) ;f!l pb_l(x) 1lT t.{#il* Householder 5t1* U¥-JI!;T -ill·

3.2 Householder *-1*-.

Householder ~~J!E8 Householder tE 50 .:¥ft*~,'1j a9-51~j1~ff1!~ (JI!.Jtlt [31 .9X [4]), t:1n~~m FI m:WI¥J3t1*.

~1l~!i:;1ITl-:::lt:1~rn 3.1.111~;f¥ftJ~Wj1'-t2:~ Pb(x) --SJ pl(x) zlll, fi'ii~~~=::J'fz~, ,i~:4f1~¥Ij--t-ii[li]., ~lltE 3.2.1 JiJf~. It-rOJW:.f/J\jJrOJ:I: x fflxtfrOJS: b l¥J Householder *1*, iGfF

(3.2.1)

·57·

m 3.2.1 IoJ iii: I¥.r Householder jt *'

l¥lrp, x = [2,4],b = [2,1]' f'iJllt -PilL) = [-lr -~] ftl p&L(x) = [-~, 1;], 't:ir']#t,'H

[ 22 4] Qb(x)= -5-'5 .

ftll 00 3.2.1 ~JT ;j~, Q b (x) _I:j x EfJ J¥J}rJ iX. -R!jI\ tE B ir' J tE ttl :!! b 1. a<J ~:Iir !¥.I1J [OJ ::f riillffi B; ft1r'Jifor.j:lJ, Q/>(:r) Jkli:i]-;t x *f.!=J b~HJ'tH:iPfffijrn--t&M (i:l~). MtJ., Householder 3[~xn4tft~3[~.

1ti {~~!iiif,lJ iJ<J £, Householder~,,*-Ji! -~X1;\ft-t- rtJ:m.itt:n & 111 t8f*WLflU:r(§1t *-K:.Jt Jl-7 ) . :1J T ~ t-l:h~ - .Si:, 7f~ Wl Ie 00 3.2. 1 ~ ttJ tnJ 11 x ;m ~ n.U.\@. .GenI!tJ ¥IJ t¥;:1f "P' B (t(j ---~-lrilr&f9:. im*:mJltItJ S:1I3.X1~·MPFtlfi bj_ f1=&Jlt, £~2,. Eltf "F" gJ[1r-1-~{t, I!P&

"F".

Householder 3E NU¥H'B.~/F5e'I1JEf1R §1jJ:E fftE:: 1- rh]:;: z , u, fIl b, IJ!rJ r it:"¥:: ~ :r-\'~,

iUfIij)t,

(Qb(X), Qb(Y)) = (x,y) (3.2.2)

IT:@:, r±i-ft1J. 1f & (ttl A) :L1iI 1'IJ ffl *#t (t(j *:ftl tFl~, fiJf!.j:t\ (3.2.2) ~ _ft T Qb ag t,1} 11 J;:: -1< ~ 'i'1. :it -- F.,i, M: J1-'f- M ~- Householder 3t 1* flY. ffll¥.r =* 11.

{>- PI.: -R*t'Lf~~*t}j~_tA1f-~·ffi:m~mrtJ:S:. ftaOO 3.2.2 M7f, ft1r'J5t~ X Iii.

MiU ck .L, ~¥rJ-1-wrrn (:fffi~) (~J:!:, 'f: ft-ff-'¥!·{ftfdl, fZ.1f-1-~~-;:5G~. Jlti:il\jjf

(3.2.3)

tfJ [<oJ:;: b, .ft1r'1 Wt PI tJ. ~tm§i:lI±Ptffi mttl'E i¥J;i!:ftI! Householder J(¥k ·;t'U.iE IYi ftll r; FtJ -r b ~ JMf l'tnfn]-K:.ltfr\JioD:I: x:fi-l Ilxlh rtJllnltl~J:&i:, tz:;lllt, ~ifMrOJ.;lj!d~%~p~:ill.lfHrn:itl%1¥J - j} Xl 1fl ~, rfri ¥.! - j} Xl 1fl ~ EB x 91 ~ J!~arJ II x II e k (fJ ~ B. ~ * (fJ xt 1fl !& '\fU~:: ttL!UIH[ (Ji] , {en::: ir'l fE r-p Ai: ffl ):. T _,'t:.

Pb(X) = bj2 ----1 Pbj_(X) = X - b/2 --+ Qb(X) = -llxllek

tLoJtbif U)j T: I"J:i: x *f I<'J~ b = x + Ilx!h (~~Mjij~) A<J &M II:rllek Jtt~ x *f b r¥J Householder *~ Qb(x),

. ,':.8 .

b=x+llxlh

p/ (xl - Pb(x) = -Ilxllek

1rOO 3.2.2 trJ=Hf.WJ~4<, ek = [l,O],x = [3,4],b = [8, 4], Pb(x) = [4,2]' p"j_(x} = [-1,2] Ufo Q/,(x) = -·[5,0]. Householder ~1*xtT%Ji\tt1}1:;;t:;;r;:~rnffflif.tt~~J~d~'Iit·tO¥J rn.

Ao('- if> = diag( 1> I' ... 'rtlrJ, mlJ i]P tt %;i\ O'J [i'i] !l: V-J m O'[~) :h

n

(x, Yl = L xi4>iYi i=,l

(3.2.4)

~ 3.2.1 fl:l 3.2.2 DiJ01J~fElI)i£ rn~:!$j~11nf){' ep ¢. 0:= 1. 1Effi.f7!ltml4', £ $M7RJfj~~B] ~J IrJ 1m ;tt .

(1) ~Ad~fOJlTfX !*l tH 1m fR IiiS! 1& IrJ.

q\ = An--; (3.2.5)

J-t.~ 0 < ..\ < 1. kU'!';·, fr fJll, B1 ~tl n, x () = 1, ~~ JJlI.II1 ~HJi] ll-wi x" J;l;tt.¥.lt 1 Jt.9 fF flL mf ii !f- (fj ~ Wi Xl mlJ fit -_" 1- ~ /J' o<J ~ ). n-l hl1 ~. IN .lit, x m- f1t ~ 11 j~Li?, [;§ T.

(2) 7t.tR:m~;fJlJ~

M: fI>t, 1m tR;f- :t&)N:

{A, i::;no

¢i "" 1 , (3.2.6)

i > 110

#Ji: :!2d5L .~ Wi mr. ~. ~ t;J "f'j,(' (II] m ~ t&: JL&:, 'ITJj /G ~ ii R: ~ i~L~ 8iJ .~ ~.:-.R. tt:N 11 1- 1& U!i "rTij -l~ ~~. -t-17 *l uHf 5t!: Wi It,t, 1ft -* ffl.Jj: #IJU t~ % :J:t

(3) ;u IiIi iX 1111 t£

11M )E itfi:w JA ttJ.1J ~ j;E Il'pp ~ 1iffI ~JBtl ~ lEi .tfJ!fl tJ~L ITff T- :lU~:it (3.2.5) .fU;r\ (3.2.6) :Jj~ ~ JtlJ! :ft ~ I U Jl!l!i . ;tt !Ii, 1.lu * :~1Uftlnr N * }!{

{I,

4>=

-1,

(3.2.7)

ft 11'] ff,t re ~ if!i tk x I , ... , X nu ~.m ~1J T ~J I: x Ell] III 15 n - no -t-j{;~ ~, IJSI mf Q,t YdJr::~'12 ~ Ji$rp JJliJ W T M@'f$:*. ftx't IYTffl¥.l Xi' .ft1r'JPJ t;JJl. in:l'!j!:!~@/G~W· w!!lM. ~ xl" .. ,X"" me fJ.Ii 'E 11'J 0iJ,m jffi ~J [;If $ 5t 1I1 f~!li , .rt (3.2.7) I'JiJ tx.~H'l % rt.; ~:ff m B9 .

1f {6~m tH, tEJ~f\;t&'T4o/)l!I! A1 ;ffix>H2:-r, ~ffl ilJ 1m tl~il'iJ] 119 Householder ~Pk (ji] ~ lIB i't.lt A, .tit 111 nCJ -= n - 1. 7f~:ct:, :i3: - JU~H1Hm l1I! 'Y * ~:h Lorentz 1H~ [6).

[j 3.2.3 I!ID ill T {II! ffl /G /HJ JJIl fX #i ~ l¥J Householder fi.. M tit. ~.

·59·

t

fflftJmti

m 3.2.:1 f!m+FnJJm~~I\(II1(iiJ. x I¥J Householder &Mt:It~

1m 00 JiJT jf-, X>t -"f J1J ~ JJJl fX, Householder & M $h ~ 11 mJ; X1 T m II jJll tt, &. M tJL ~ /9-1fii ~; w~~~~tt~&MtJL~~~~~.

3.2.2 Householder 3£~.)~

lE~fl 2.3 ~WfJi, -1' n x n ~~ Q lI1lEJ(:~, ~ QTQ = [. IE3C~~tE.+=~:fIl ¥f fiE ili In1 ~ ~ ~.lit ffi ~ f81t Jfl. * IE)t r.e ~ tJiJ 1f ~ 11 ~ L - JM: ~ Householder &. M.

~ vERn :h~~ ~ [pHI. ;:ty t9: n x n );I! Il$

(3.2.8)

1'IJ.m:it (3.1.1),(3.1.2) fIl (3.2.1), l'~ft~ilE

(3.2.9)

tsllrt, n x n J.e. jl$ H ~ 1.1 Householder &M (X ~~ Householder :lie~, Householder ~~). 101:1: v ¥FA Householder «iI;i:. SJi.iE")1, Householder m~ H ti!xJl*(J(]fI]iE3C:rfl.

Householder ~J$~ft5r1!- rRll:i¥J;!t!;®JG~3et.r~, :x:mH~f,fit< [Ii) 1:1i1ti:::f~. 1N~ ft1i'l1f-E'!fJJ~~~[il]. x;: [Xl'" .,XnV ERn, 1t'latOO-lf Px ¥ntel::::: [1,0, ... ,OlT (J(];!t!; -t-./it ~11~. lit 1!1, .ft in IiJ I;( 4r v = X + ae I' M. mH~ ilJ

T T

v x = x x + aXI

(3.2.10)

(3.2.11)

¥fjt (3.2.10) ffii\ (3.2.11) {i;J\P: (3.2.9), Y!lJt'r

. tiQ .

(3.2.12)

~i". Householder Ji'iJ ;: ·V.

13 UIT ¥.J 1t" tB I¥! ¥ f Householder J5 M I¥.J M! Il-* 7t fM.1¥.J 1:.. '$ 7t $. m 1:¥ 1ft" -T- ~ m Householder }I11!!t.:

H = H,.Hr_1 •.• HI

(3.2.13a)

v(klv(k)T tt, = 1- 2 V(k)TV(k)

f'1. r :S II, "hi -1'- v(k) J;!..~""""F ifd fl<J %:rt:::

(3.2.13b)

(k) _. .•. (kJ. .. .(k)]T

V - [O, ,0,1, vk+ I' , vn

···-!il1:i5tJt, lX1n*/GfF.i~:*1B Householder ~~ H, rmn~X;f H ffmf~1-nill¥ A I¥.J. Pn~!f HA !®~~;1lli. 4- A(k-I) = A(k f" 1) fIl HkA(k-l) = A{k), mUJtffW'f1IB]~¥ldtt~ TlkA(k-lj DTrl1

A{k) = H A(k-I) = (I _ 2V(k)v(k}T) A(k-I)

k v(k)T v(k)

= A(k-I) + v(k)w(k)T

w(k) =tlA(~:)T v(k), !3 = _2jv(k)T v(k)

(3.2.14a) (3.2.14b)

ftMitj1i:. liiki"Ln Householder J!::!*~*en~ HA = HrA(r-l). -Fflff no Householder 1eN.: (f.j MATLAB ~l.t il).

1£ iii: 3.2.1 (Householder 1m Ill: fI<J it:a) !ft;i:E n x I f<ill: x, F 1Iff I¥.J jij ~ it. n m Householder ~IJ (ri)ijI' 'tI, J:t- 5f!; ~'1' Jdf v(I) ~::: 1, ;It..§. m Iii] iiH~~1f1-li} (1 - 2vvT /vTv)x ~ m -1' )G~*1~';fy~, ¥B'.~ffi·11'~T~.

function : v = house( x)

n = length(x); p, = II:cib; v = x if }1 -=I- 0

,r, = x(l) + sign(x(l»)fL v(2 : n) = v(2: n)j8

end

v(l) = 1 end house

. 6] .

w:;* 3.2.2 (Householder 1r: *") Nt J.E' - -i'- Tn X n :t!i!Vj, A I'll - l' v( 1) = 1 I¥J m x 1 Ilij 11 1'. A>: U it Jt:I P A :ill: :'EJ A, Jt:. rp P = l - 2vvl' / v TV.

funct ion : A = row. bouse (A. 11) r3 =- 2/vT t'

to = ;,3 Ji'l' tl

A = .4 + vwT end row.houso

.iii: 3.2.3 (Householder ::tl*) tftfE-l" In x TI j§j!$ A ,fU-1' v(l) = 1 (8 Tn xl r'D ~: v, 4:1(~r.tHl AP f(i;"1 A, J{:'-P p = 1- 2m/'1vTv.

function: A = coLhouse(A, v) (3 = -2/uT(:

iJJ = ,dAn

A = A + 'wvT

IT 3. R ''Ii, W; if);Jt Ji 1$ fj- ni ~fllUJ.f~ m Householder ~ 1* ~~ ~ ill ~f~ ff] Q R 5}- ~.& :J:t: t£ H 1'1 Jiv.l.:t 1;}!it:£ll1 q-l A'-1 J'\ZIf~ _

3.3 Givens ,~ft #

t1: ~ 1- r~1li± ~~ if t'i: ,jG ~ :h ~ • !M [UJ H Y.. &: 1-1' * In] ii ~ Wi :t& !it t/} 'jj & ~ 3t (t.J ,nt. \\;J< T 1-, --- l'i f)- ~(-1 JlIfJ fi \H j!: T Householder ~ fk 7~, :\£ fi 1>: Tr ~ #~ i± tfJ 'tiE ~~ • ~r Givens fjjf ~'-7 ( {\ H'J ill Q4 Jacohi/it[~).

- 'f 2 x 2jE 11: W- P'f- Q ;It: -- Ji Jtt, H '8 _f\- tn~ J\ '

Q __ [COS(O) Sin(O)]

- sinCe) - cos(B)

(3.:U)

-1" 2 x 2 1E~j;2il!t- Q ;It:-nfi~, ;(}

Q = [cas(O) sinCe) J

- sinCe) coste)

(3.3.2)

~7~~&M~~«~~m, ~ill*fi-t-~7. 1JI] 3.3.1 1f1:.£ x = [J3.1]T. :!mWo-t

Q = [COS(30Q) Sin(3f)O)] = [v'3/2 1/2]

sin(30C) - cos(300) 1/2 -V3/2

mil QT:l' = [2, or. RP;;lt; N., i!l'i it X T 30° :rU:~ rna!'H, .fit 11'] ~lT L-), ij! InJ lil: x (fJ:~ .: -t- Ji>*' _R /11 :{2 . 51-- 11 rlii , ~' -1-

Q;;::_ [ COs( -30°) sin( --300)] :;:: lr V3 /2 -1(2]

- t;in( -30°) cos( _:30°) 1/2 v'3/2

- 62 '

3.3.1 Givens tdf~

r 1 0
1(:) c
G(i, j,(i) .:_:C l!
---,~
0 0 0
s 0 t
C ... 0 J
0 1
J (3.3.3)

H:'1' (' = C(Js(A) 1'll s = sin(8). ffi!.;I'8, Givens liitH G(i,j,e) £:lE3i:j,{::iIl$. g-i:..E- i~,j m: ::, = lU, &)1', Givens ji{f~®3H& (" = coste) ;tU' s ce- SiJl(B) rn

tk ~, Ii, Ll:t 1~- :PI]

" = biT

(3.3.4a)

(:3.3Ab)

[ C s]T [a] [TJ

-,~ c b - 0

function: [c,,<;] = givens( a, b) if Ii -= 0

c = 1: s co·. 0

if Illi > la!

T '_-c -oji!; S = 1/,,11 + T2; c = .~T

T = -bla; c = 1/yll·'- T2; H = CT

rnd

end givens

(to H9<ln4'- .tl C flo! Y 'I ili:Hl Givens tit n It,t, it~: ~ Il4' [c 8] T A I¥J MATLAB ru 1&

-8 e

·63·

function : A. = row. rot (A, c, s) q = cols(A)

for i = 1 : q

TI = A(l,j) 72 = A(2,j)

A(1, j) = C"T1 - 372 A(2, j) = 871 + C1"2

end

end row.rot

i!1t, :mffJT*J:ii Givens 1iit~~rrlDt~. X1}i\lil!!., 1£ffit:W A E RqX2 ~"J1.riH#

A [_cs ;], ~nT MJ2t,

function : A = col.rot( A, c, 8) q = rows(A)

for i = 1 : q

71 = A(i, 1) 72 ::;,' A(i,2)

A(i.l) = C71 - ST2 A(i, 2) = STI + C1"2

end end col.rot

2 a., (a .. +a .. ) tan(20) = 'J 2 u 2 JJ ajj - ai;

(3.3.5)

_tJ£t-;f}l;$::IYL fUffl-,*1~ Givens Ni$t, mtllTJ;).:m-1'X1~W.j!$ A X1fB{t, .i!~t'-'!l~T Xl ¥F~P!i!f.~#m. 0-liW Et:J Givens 1Jl! (:g!t Jacobi 1Jtt.), ~1n~:{f.~7\ ~ rp J!·i*itit3!fI11r It.

3.3.2 "*~ Givens ME~

J;J.-~ UJ ~1f tn1J~51 A~ ifl~h~~ Givens ntE~tE -4!J!i~1t{flI<lJJg rp Jilt T-:f4l "iP:~ 91:'«ct TJ'!.. -flHi~~ Givens JifE~ tfl'fRif.;J1;;.

·64·

,tRl! Givens ..$l*5HiJj##!~ : "1 ~" 'J;Rit~~A1nf;j:\:
1 0 0 0
0 ., . /3 1 0
FI (i,j, 0, (3) =
0 .. . 1 .. . a ... 0 J
0 0 0 1
i j
"2 ~" tl~:i! ~ j~HfJ ta ftJ :tJ
1 0 0 0
0 ... 1 . .. a 0 i
F2(i,j, a, (3) =
0 {3 1 0 J
0 0 0 1
i J (3.3.6)

(3.3.7)

(3.3.8)

MT DMI = [ d2 +!3f d1/31 + ~2Ql]

d1i31 + d20;1 s, + al d2

ftll* Xj -=1= 0, JHI!l. al = ~x;/Xj .fit {3l = -Olldjdu !l!~

M[ DMI = [ d2(1 ; III jt:1=j=l ')'1 = ~CtlPI = (d2/d1)(xjXj?'

~tJ~, E Xl -=1= 0, #;iE>l

M2 = [;2 ?]

Jt:r.p °2 = -Xj/Xi ;fIl /32 = -(ddd2)a2' JIll]

(3.3.9)

·65 .

,:y{I'D v! = [d1 (1 + 'h) 0 l =-c D

~:[ • 2 0 d'2 ( 1 + 1'2) J . 2

Jt'fl 'h"-' -n:[/12 = (dJl'dz)(xj/XY·

rrSJiiJEnJj, ~}t~f k = 1 m: 2, j;E~~~ J 0= D~/21HkD;I/2 fl;~IE~~, rffifil$H't:#J

Mk [~J I¥JW;=-t-7Gffi-j~U&+. I3Illt, ftfr'J¥j\ J JJ--#ME$#, ~H~ J mPJJ.;l.;f&-JJ.~~.

GiW;TIS llii'tHD'tk if Givens M.<*" .t:.IHI 01 t:*- JR }}IJ fE +, € ill" ~:'k. -r -if 11 ft!.i6$i:, E§ lit ~-I:t mf tf·~ 1t.

3.3.3 Kogbetliantz .;*

(t: 3.3.1 11, 1:t fi"lN if: T Givens ./iiH~ftJ:lj f M¥F9iuJt-tfJ!a.W:. IJIl,·fHttFrtmfiiJ:#J Givens &!f~ jl\iJlJ T:1~xtf,f rr:J---~~ ~~~. Givens Eitt{ ~rtffU" {OL~/f: fJJ to Jf5J\' l3: tn fdB - {thl=l Kogbctliantz [2IJ[ m: Itl (tiJ~:;It, 3J t~: .L ¥J\Z:tJ Kogbetliantz Jrl-l;. Jt fjl ~ l1UtJ 5Hfr::% Fn * I-H Forsythe !=j Hcnrici [21] ~ I±I i'J<J.

xt r- i < i. ftil'J;;E SOP Wt: Ak IJ<j (i, j) if:j 1tJI f1: m T ~ i 11' til ~ j 11' ~ Givens ffif # J(i, i. e), 519~ --1'- Givens 1ik~ J(i,j, 0) mlJ1t flFf~ i y~fpm j 91J, ~t: _fi:if, mElft~ ilj ftiJf~r Jt( ~~ A J,.+ I 7f {{[_R (i, j) fIl (j, 'i) !It (8 _7[;*-.i1J if ~, ~Nn

[COS e - sin e] [n - - 0: .. ] [ cos if

sine case a;: o:;~ -sium

(3.3.10)

(3.3.l1a)

. Qij - Gjj tanB

tan 9 = .. ---~ ... --~---

0ii - (lj; t.an e

Gji + nil tan 0 O!:jj + «, tan B

(3.3.110)

(3.3.1~a)

Q - + a tan ¢ (};"., - n - tan rf_.

tan (J -=" !J_ " = J' )] _

njj - U J' tan i/J Q'ii .,_ 0ii I.an 1>

(3.3.12b)

liifl J:E.

M{,jJE'It~ m:, tE:rt (3.3.11b) :f11 it (3.3.12b) qq~, j~:1.f:d&xtili tt~A j'fJIflf. im:!t i\ (3 . .J.11 b) q1 (~J!flj 1, H, mlj miN i'f.J 2 x 2 !fri ~ #t M '4:: }E WL 1E ik # ·t:n5t r jJij -t- NdH'l) )\\( wt J.i :t ::f{~.

H:4"l.:r\ (3.3,5) L'j it (3.3.11a) JJl, ftu:lf:-Wji"t A Ji:tit$j'(.J, * JU!t fJ = ¢, jJ~~i\ (3.3.11a) ~kJt (3.3.12a) *1i riiHt;l9 il; (3.3.5),tE Wt)f.:~~, JltlH I<ogbetliantz:tHHiiJ1tJJ -~ (j<] Givens nllH'.

fj -* Kogbetliantz U tUJiJ _ft- tt J_ill,Ef], i'tr (f:W; /.;:a' r"l11H~)( 'Gj'Jf ft1 )t%J!(, ~if 11' MLt .

. 6G .

LlilfJ Householder ~~!:j*l1[fJ GiVPDS JiiE~1£mli$(8*IW.p:lJ!::jlij#£*Q{JIA-, fX; ir' J:m tF. J.j ru rtJ * l1-lF~ll12ir'J l¥J @!fl. .t! iW fir ~*I Aim ~';@ Jfl 'f _if a:' eX: -¥ _if;E ie J!$1¥.l 'ry- ff#. :Wl ~ 1!i iU /1';: ;;E ~ Il$, mlJ ffii ~ N: ffl XX lit! 3t 1* X1 1:; in :iJ1 fj * JW, ~ if' J ~ Z:1J /f~ ):£ ~ Ii$ lf~ J )}~, *i~tE~fLi;i: 9.3lt9='iti{,;'t.

&~~m~tt~~~,~~~M~~+*~.m*m.~m,m.&fflM~~~~,a in 'ff,j ~ ~~ k ,ffi if_:!. ~ 1* Fw (fJ m Il$ Jl-1f T- iEJ 9<J m 111. m:r\ , J3: ft! ~1. Wi m Je\ mJ ¥F ~ jI$ ffl tli It ITl. rr~@~m~~, ffi~~-~ttM~WH~OOY. ~jI$~~~~n~~, ~f~U~M ~W~*M~.&~. ~ft, ~~mkm~ll$fr.Z~, aill~*H~~~~ffiU~. ~ j;f:i [14'- ~J +1: fit ~ .

~)t 3.4.1 (ffln;O;E[~!=Hf!1rt~1*) ~E~ B E c"xn ¥J'it!=Jmfl¥.'1 E c=» ffiilJ, $;'{f-tf--ff;;:ij}f~Ii!l$ S E c=» ~~ B o:-~ S-lAS. JltfM, ~'P:jI$ S ,ftJ;JJffiitH;t!:W!', ~. A --+ So-lAS ¥J'~fJ:1.'WJffi1bl~~ S !¥JffiiJ;).~¥k. x-* "B -!=J A ffiM" 'itM~~ D ...... A. ffifJ:):tt:M-#~ilt-A*, '~Jl1f tl. -[--ttEl:,

1) H !itt A A;

2) X;Jf!;,tt-: B A g~;ft A ...... B;

3) f/( liUt : ~Il _\l: C "- B ~ B "" A, mlJ C "J A.

:.:E~ 3.4.1 4- A, BE e"''''. TI H !:j A ffifrJ., !iN B (f.J~11E$:ruht det(B - zI) -!oj A [fJ t,H1L'f; Iff! 5\ d et (A - z 1) ;ffi ~J .

iIH~ xHE ~ z; tt1i'1 (of

dct(JJ - zI) zz: det(S-l AS - zS ~1 S) ;0: dct(S-l(A - z1)S)

= det.(S- 1) det(A - z/) det(S) = (det S) -J (dct S) dct(A - ,?J) "" dct(A - zI)

f!rJ IE Ft! 1~ iiF.. •

It f"R M tt 9" Iii 1J "(R J!:'. ft:J ~ Elf iW ~ @i til 1~,'tt- . :1m #HIT 11$ A f:2 J± -- 1" ~)£ P$ ffi iii ~ ~ JJ B, ~ iITi';t,fy'j( A fn B n':1!H tH 1!!A friJ .

tlht: 3.4.1 :& A, B E c"xn, Jt iI_ A ff1 B tl1 M, mu E 11'1 J1- {i fll ruJ rn *f jiE ill (12! M $ if: t!f hE U'i 1L ~l ) .

~ilimhl~~#ru~*~ft~~~Mffl~.~%~.

:;E.)(. 3.4.2 (liJX1 jhit) :!m,',JHl:[ Il$ A E en x n !oj -1'- xt ill j;p_ rtf ttl il), , ft in kt:f1j; A ~ 11T:t'ti1Jit iY-J (N u} ill1.'f H-1 =* it:if "lij'xt:ItJ tfj").

:iE)t 3.4.3 iW 1- UJ x-tffti-t 9<J Mi 11$ A, B E C" X" ;f$ /9 [il] !t-t pT n ffJ it ~, -* IT 1£ -¥- 1'- if!

M liP: r~~ SeC" x n f~ 1& S-1 AS frI S - 1 D S 'fflL~:t-t:m Ir) .

w~~m~M~~~~~~wm5T •. ~~m*.~~5T.~~~. ~~~~~ jITJg-inrX1jfdt~WIi$**~ (j 5(*1:1iEtil5tlW, j y.. Schur 5Tfm~) ffJ~1illl.

l1ffiW'.i1 A. --t-!:J ni 1lt.5Tm WtJ],fM '!A ~M2.

:iEJl. 3.4.4 (A /G10 -i":rQraJ W ~ en f4'\:tJ A T-~~'J, 1ix-t4lt--t- w E W ~Aw E lV, Jt~ A E enxn.

Jordan f,j; m ~ te: - m. "lV¥- X1 ftll¥.I" (almost diagonal) M! Ii$ , ;f1F fF J ordan ~ ~ . X1 ffl ~ 11$ ~ - # lil'iiJ -!fi.i¥.J Jordan ~ Il$. -- -t-!q ~ fE m Il$ A ;f§ i!!1.1¥.J Jordan m 1l$1* J9 A ~ Jordan tj m ~. -!! ft ifJ E. ~;!j!;; 1- ~ Il$ (fJ Jordan tj ttl: ft't, !~ -z. 1f * it ~ rl$ rn !iJT ~. it tt ~ fl ffi ,@, (ep ~ 11 j[ fA) ilitlit B JJJ.

~)(. 3.4.5 (Jordan *:lil!Il$) --1- Jordan *~j¥~ J,,()..) ~-1-Jt.1fl;l, r%~~ k x k .I; = ih Je Wi- ,

1 .\

.\ 1

.\ 1

o

(3.4.1 )

o

ffij Jordan ~ 1lt. i:: Jordan :IR ~ Il$I¥J H (~) ~,

J-- r .Jn2(),2). 0 j,

n1 + ... +n" = n

o in (A,,)

"

(3.4.2)

:Jt: 9=l !liH&: n i 1iJ lj fH liiI, mf A {fi::f - .lE:{ ~ fill .

T 1m rfJ ~!ID P4 1M< J ordan tii tiE ~;£ I:l!l.

:i.Efl 3.4.2 (Jordan .vF(1Ht2~~) ~ A E C"Xn :tJ- e.mJ!~Jl$, mU#:tF -1-1F~·ft.

Wli$ S E c"xn iilij)E,

8-1

(3.4.3)

A tt<J Jordan WI4~Ptt--·-~ (xt:ffl Jordan tkl¥.J.J'lfJtll'j;:J¥ftif/FrrTI). j\rp, %1tE-m Ai(i = 1, ", k) ~ - fE T- rliJ. ~U "= A £ yt.:fJ ~~-tiE 1M (j\J ~~~, mU:ffi iw'~ Wi- S E]'J{:{ fF ~ 1't1.

liE 11JLW. )( ilk [2]. ~~~*M*mffiX~~~~m~.~m~~~M~"~?~~~~, ahl~~~ ~*WM%ffiM~~~W~fim~W.M~~~~&## •.

·68·

P..IT 111 ~ I~ i¥.I 5rM- (decomposition fit factorization) tt-* ii. U:~ tt1tfk, :j:!} * 1"~.IE fit e J;rl flIJ :'€ ~'" 7t ffI!f tJ ~- ~ := 1- ~ Ii$ ;t;F tt ~ i¥J * 19, (1'- *~ m 6G T 5t ffif- -:h jJij -t-~ ~.f;.~ tt ~ :L.ffl). m~~~~*M«+~MZ$,.~$&, @~~~Z~~~~.~B~~~. ~ ~ill, ahl~ ••• ~~*M€fflftOO~~~~m~~li~~$-t-m~~~~-t-~~m at (f):J;!1~!R (matrix pencil) M~ 1i$X1 (matrix pair) :iltfi 7tm*:tJJ*~ Ii$I¥J ?t1M~:g~.

L i¢.1-~J'4'-f87t#

trHlHe:llt- A *M€I¥Ji€~l¥:Jt~tt~, llT5t~ l;J. Tim -*~. ( 1) xJ ~ it 5t iIW

~~*M~~rl~~~~, ~~Ii$A~~~~, ~m

ti-~m:71-1fi (SVD): A = UEV" ~ UHAV = E,;it9'< U fn V =:trtJwm~'t, E'tJ x't m M=t)l$ (tt;ti- ffHt! ~ a<J jiJ M i-t 5t JW ) ;

f'fhlffi5TJi'N'- (EVD): AliA = V2.:2VlI M AAJI = UE'l.UII (rrX1m-l*~il$mX1Jfdt5t

IW);

CS7tM: ~fi~~~~~~*~~~~~~~7t •. (2) _= 1f:dt5tfm

~~~ •• ~~A*M~~~~~~~~~~Z~,~5t.'tJ-~~~~~~~- 1'- -F = ifl ni 111; 1: #{, :f: ~ :ff tJ. T = iM' % j\ :

Cholesky 7t ffif-, A = CC7', Jt >P G :1.(f -==- jf:j m il$ (IT xtx,t ~ 1£ k %P:1l$ ag -=::Mit 51- ff#);

QR 7tM: A = QR M QT A = R, J'f;rp Q fl:jf3J:~Il$, R 1Z:_t-=:ft3~~ (HX1-1R:*P.

WI' fi<J ---:: #! .f-t)t 1m):

LU 5tM: A ~_:: LU, R* L fl:~-tLT:;_:;:1W~Ii$, u .:l1o_t -:;;jMjj:-ill$. (1txt~~~jfm~ EJIJ .:::: ~ it 7t M) .

(3) -=:ftj - X;j1fl{t5tM

~~~*M~-=:-t-m~~m~(~1'-~~~~~-1-~M~~)Z~, d#fi~~~ W~~~~(Mffi~~~k~m~Ii$)Zffi. ~~7t.~

L D MT ,t fi, A = LD .UT, jJ;: t-F L ;fn M =;;if.:1J 1fl. {let' ~::: jfj :€ Ii$, D ;g 3(1::M jt!!lt (it x<t~~;#f;tM!Ii$e<J .:..:ifJ - Xjffl{t5tM);

LDII J1.IW?: A = LDLT (tt·x,ni¥.r:ni~$flIJ - JI'J - X,JJfl1-t?tM);

Schur :It fD¥: QH AQ = D + N, Jt: rp Q ::l! g:!i ~ Ii$, D J1:X1 ftJ m W~, N Jllo rIO#:!- .t.-=: m %P Jlt (it N n m rl$ ['J<) -=-- ffl - x;fjHt 5t 1m).

(4)-::=:X1mit 5tM

Housoholdor :=::X1'#!1-t:7tfWt: T = HTAH, :jj;:~ H = Hj···H,, __ z :J.] Householder ;,Q: 1* z tR, T ~ --=- X1 :tH ~ Wf .

2. *e_~*-(f.;~M

~r.40*(f.]*JIfl±~Jij r:RN¥~jr$*r- .'X.#ilE{J[5t~ (GEVD) r<lJ~ A.,r = ),Bx(x:F 0) \YJ QZ 1J l±.p, -t:: i1t &. Wi 1" ~ il$ fi\J ~ lit 5t )f/f, jA~·lf),· X Schur5t ffJ!F .

·69·

r'-_,)( Schur 'l} JM:, Q1:I A Z = T .ftl QH B Z = s, Jt ~ Q jft1 Z pJ @ ~ 1t40, nil T :fIl S -:h

j : _~~ j'fJl:[_i Il!t_ ,

~!w.r- 5/... Schur 5}-J1JlWJ~J'citm Hes~enberg-=-X<tjfl1t*M, QT AZ = H til QT BZ = T, -Jt-'-P Q ifU Z 1JjEY::W.~I~, H ;;iJ_L Hesscnberg ~!)$, T JLt.~.jIHe~.

'£ % Zt ~ , .ft; 10 oT U m n1 jl!f :St ifI¥ w ___L tt -& ;fp ~ ~ d!lJ f.& m 3.5.1 FJT 7R I'fJ ~ 1* 51 ffIl:M (_i¥: ~!j~%A).

{ ~.l'f-m51M Jiitl1t51. tHlEffiJtM CS1t.

{ Cholesky *IWO':fflft7H4 QR)}f!II LU5t1R-

{ LDMT)}WI

=om - Mfflft*1M LDLT *M Schur *!IR

-r-: Xi ffj 1t. :it _11!'i : Householder ---:;ij fI: itlt II-

{ f~).( Sch ur jr!IR J;jiilf"l!!:

Hessenbcrg cc:H fAit Jj- $'/-

ff~~~~~#m*.~ti.m~~~Nm*.~~~~~~~m.r~~~#m ~* •. ~#M*m«$#.r, ~~~~~~~m~~#M*.~~~*~r~m# m:St •• ,M~m*.&~-#~~~*~~.~.r~r~~Mm*M. aill~~m A~~M.*~»m:StM&~.r~~Y.#m. ~.~$~~ffl. ~f~~m%.~ k~$ffl£~M~~OO:Stfiff$, MUftm$~.+.~#8W~Z. ~~n*mtiM 11::. 7t JiJ1 R ql iJiJ G S 7t NJ .

/:Ell 3.6.1 (GS 5t1Wf) ;go (k + j) x (k + j) :M!1ir

N:: iE:It rfl, :JtA-1 Q 11 ~ k x k j;p jI$, it __§_ k "?: i , !J1.IJ::fftE 1E 3C:~ ~ U1,v1 E Rk x k fI:liE:)(_ );P:!it U2, V~ E nJXj 1t{~

o 0]

C S

-$ C

(3.6.1 )

·70·

C = diag( C I , ... , C j) , S' =co diag(St,' ., ,8)),

r· = r'us((},)

":t . l

Si = sin(O;)

§. 0 :S ()I :$ (}2 :$ ... < fJ) :$ rr/2. iJjJ~ Hf. .w., X mt- [7).

:m mii-:tt!!. OF, c.') 5:r-m:ffi ~·'f¥.f-1- iEjtfE~ I¥.J :&1-*~ loJm # fH 1t.

titi:t 3.6.1 4,> U "" [UI'U2] fIl V = [VI'V2] £n:):~Il$, ;!:t..p U1,V1 E tr-= 1'n

tt V. c: }_)1>.x(n k} v .. '" (U ) crt! S' (V) IJ!IJ

L 2' :.! ,. 1-t:'i ''')1 = range I:r 2 = range 1 ,

dist] S] , 5:J = F'U!in (UTv!)

iiEa,EJ ~ q = UTV, :JHtM ~ k 2. i = (L- k. 19: Q (tJ CS 7tiW EE..lct (3.1.2) #l" I:±:l,:lt r:r

(JJlq = iI,;' V;,. + 11:,

ftu.-~ k < j,l!lIJ tJ±~ilJ~j{IJP~r&;.:;r, Jl'm~~<>- Q = [U2,U1]1"W2' V1], J.HE.&iU l7",ax(U]"V1) = {J . ([r,rv.,) --, 8 E!~ dT. •

Ill. t x, &.:. .J

1§IJ 3.6.1 }kWI"

I-O.7fi1 Q =--l 0.548 0.433

--0.696 --0.006]

-- n.S·55 -0.626

-(lAS I 0.780

_!l:~F?2: [I!j. 1J;1 J1t j~ ~l if_: :Z:'$: 1)$

, r 0.999 --O.Ol(J (J.O(JO]

i. = l-O.OlO -,-0.99~J 0.000

0.000 0.000 1.000

til

[ -0.721 -0.692 O.OUIl]
V = -0.692 0.721 0.000
0.000 0.000 1.000
[ 1.0110 o.ooo 0000]
UT QF =- (J.OOO 0.780 0.625
o.oon -0.625 0.780 . 71 .

3.7 Cholesky;} M lij LU 5t ftR-

~ i'Hti1>-= Jrdt 57 flW rp lfJ ~ # % j\';: Choles ky 5HD¥ fI:I LU 7t $f. 8:J T Q R * M tF. {~ ¥t kt J!Il 'P (j{J W i-fH ~ 'it ! iZ, )iff t( ft in ¥.f :{j_=, 'F -11 ~ 1Mi ii it 'E .

3.7.1 Cholesky)tjq

t'J.!: A =0 (aij] E tc=» :R:;ii1~iF.fEJ£l5$, A = GGT ¥J;)g Cholesky :5tfM., ;ttlf! G E tr= ~ - 1- JH4" IF ~J ;,{,t ifH£](; ¥' rfJf:::=' m);E j)!f.:

G = [;;: g22

rt,,1 g,,~

j

({i,j :::c ~gjk9ik k",1

J-l

9jjgiJ = aij - L 9jkgik := v k=l

(3.7.1)

(3.7.2)

:ttu *ft ffJ mill T G (fl HI_fj -1 Ylj, JJ~ Z. L' ;~:&: ijJ ~t 1HJiJ. Ant (3.7.2) :Mj::D, gij = v( i)/-JV[J). T f1:, W; 1i'J £It lfit!t Cholesky 7f m i¥J r:i£ MATLAB if $:

for j = 1 : n for i = j : n v(i) = Uij;

for k == 1 : j - 1

t;( i) = v( i) - 9jkgik; end

gij = v(i)/ v;;m; end

end

(3.7.3)

:il-.i'±P~iMl: Gaxpy Cholesky .:$::. Gaxpy m:RPr-Xfj{J saxpy, -riff "saxpy" ~tEtt# § LINPACK ~MtAE3I'.1'fiJ*i8-, '8"Jl "tj;ltl ax + y" m~_J( (scalar alpha x plus y) ;m:q, saxpy :iE~:j:£ xY)

z = ax + y =* Zi = oXi + Yi

Wif Gaxpy Jb~:~m».II*:iE. Z = Ax + 'y. ~). t: 7t 111' ~~ .5r: IIJ Jj, ~:J Wi ;.]

. 72,

;i'EJ!. 3.7.1 (Cholesky 5J'-J!¥) tllL"I! A E R"xn £xtf$iE;;:E~Wf. ltJ.iJ Cholesky 7tm A = GCT fkPiE-(j~, ;¢>rT::::1l!JQ!tt G E Rn~" 1¥J1~+JtJUBn (3.7.3) tR:J:E,

T -= '" W Il1r G l* 11 Cho lesky :=. jfj , Jj 5'~, Cholesky 5t ffj!H:!! i~ Z -f 11 #ttf;'ft. r-.l11 T _~. if] ~i fl!F G -rIf JJ ~ '/j JE Ii!f. A fEJ "'F 11 *" .

- t·:j~ ~ # J;ti Il$ A fIi) lfg),£ Ii$ A -lp[J:J ii!l rl Cholesky tr m ;1<.14, RP

Jtrr c:" == (GT)"'l.

191/ 3. 7.1 ~ ~fljJ-H Cholesky 5r~*flWo);IT!it 11f'iI Ax = b. EE f

C-1Ax=C-Jb ~ CT:r=h

:;!:tA" h = C-1 b 9.£ ~if)":1) Gh = b. tt i!( Gli = b Wi izn'fJ rtJ :5!::JG t-, $) ~-11-I"J:hl h Ef{J Je ffi- hi llfJ_@:Jt {t~1~ i\ !m"T:

1

i=2,3,···,n )

(3.7.4)

:£IJI,#, 11W Ax == b IJfJfIW~1ft:1J C1'x = h IY.I/W. I-E:@:fU CT 1J_J:.-=.ffl),:e~. (:§Jlt x IiTU :f~ HJ ~ oijl (]i) [J.il1t ft:1( ill:

i ~ n - 1, n - 2, ... , 1 }

(3.7.5 )

3.7.2 LU ~Nl

~.j 1* f,'f inJ:I: ~ ~ ~ w: ~;;p: 3t I¥.l Householder 1!::t!H!1 Jacobi Mi ~ 1~!ciJ, Gauss ~ ~ B::ftP 1~ {'f'dt! ti f!{J ~ 17f, ~ 1*.

~ x E Rn :fk-1- n xl inJS:, *_§_~m k 1-]G¥-1~jJ-+, Elf] Xk ¥- 0.12

(3.7.6)

A1k = 1- rer
f1 0 0 0 t: 1 Xl
1 o 0 xk xk
M,z = II -Tk+1 1 . o. 1 .Tk+! - 0
, .. ~Tn 0 1 xn J _ 0 J (3.7.7)

·73·

jI;j::i ~'~ -\11., #1: 1; G auss 3t ~, i3: j~ - -- # tlJ :WJ~!i fl!t- 5£~. CalLS;; Jt 1*)£ Wi- M k It: ~--1-if'-1i'[ T =. iiJ H-'I;tf_, TA'_t-i' ... ,T,,, VJ'1; *.:;, I~J~: T ~4 {M: Gauss I;') :U\:.+:l{t!}$:i.iE, All., = J - T(k)f{. -:It yJ CI,: .J:il: ---·1'-1'i.?i1 k 1'- :it*"J.l 1, -lIlj At:' )G~b-J ~f* rB3iU luJ:IP:. -r &, MI,: !¥.l ~XP.ll't- rtJ

1'- 5\i;i- tH,

ll_~l_I_ {.''IT 11'- k - T C~

(3.7.8)

C a 11SS ;Jt N': IYJ tl (tI] )lit j( 1* :M %t (1uJ til x) tr.J -- -m: 5tiG *-1[: JJ :+ , f_~_l[ f\!: 1" kg W H' + 'J.t. ~r:r 'r~ ;{;J -1~ 11=;j- )f '/;p_ f!I (fJ {). 3i~ (IJ11.t 1 j) L>~: m Gauss -]::.JIR:, 1+ t*, ~ 1* tl; *:'h f~_ Hr. j";I:i WF, tip u; - M~.\IlA --= 1, :}!;t'1i'J,mfJ'gf~¥U:li1!);E~ _;i-I = M,," ·;l.1'2A11' u;WtM;R.ii!!:U!:I*((.J Gall~~ r~'j L n:.

M ITII, ~LI~ i!llli C il.IJSS ~~, {_if n X n. ~p: i¥~ A Jt J.J r .. =::#1 W ~1~ [J lr".Ji;~_. :ft, In f,lt1~HiJ f:l t,.r~-l'j'j(p_I~~5JfM~: Mn-l ..• Al~J[lA = U ±!-x~;1;lfIh

A = IE'

(3_7.9)

L - \-1 -I ... \1~1

--) l ~ n·-l

(3_7.10)

m ~JJ :rr:, L :8: --1'- J-'(l-1ir. ~- -: ff:l ~ iUt , ~ j{rfii: - 1- .0\1 k- I 1Ii; M f(r.1l'T. f;, -: 1fj (n. i\ (3.7.9) i'Jr Ji; rJ~l jfi [;1,: * fW(c ¥J~ JJ il lYJ LU 7t [iff.

iE II 3_7.2 (LU iJ'- Jnn ftllW: A E RI! A n 11, -:'OF, lHLTt u: ;_r fW--fl'- -t+ ~Ji{;', n!IJ A (fJ

LU 5}il(f}tIIffi---ftJ, lL dpt:(.4) v; U11""U"n'

iiE ~Jl <-'- A = L 1 U 1 fn A = L2 U 2 ft'!~~':1T W 14- A O:J ~ -1'" If} -5-j- fIN', ~1!j L 1 u 1 '----, [,')"2' fll + L; 1 t., :m F'(f_1lr T---=: ffJ ~~ 1l4~, it li U zU I~ 1 -Jl J:._-:=:=: ifj;@: P!f, Wr lj.l1 Wi 1~ W 11$ ,JZ' Jt t;11~-ri'fi- {]'fJL Il*,N mll-S ifFl'; dTfm t5 "'if , J1;: ml'Jik iit, 1.1 = L2 J\= U,", U\] u. ;r-iWt-.it ~I>-~ I~J.

Pn * A = LU, vllJ dct(A_) = Jet(LU) = det(L) dd( Li) = del(U)-= ii I . " - il,,,,. •

i9ij 3_7.2 :% r.st tt i'i');E fl~ 15.fM Ax"'" b rf);j~ ffJ!t·. l~jl'JIiH), !\t-jj_;{ i'''l Jt&l :)1- $,jJfj 1- -=- if! tl::i_ ~;tJ'.

-1; -f~ (J{J >R m, n 14' ~l i'!; YQl" ,

it}:j: A=: lJ];

*I1W- Dy..:o Ii;

>tdfl!1. U x =-c y;

1\1 T Ly = b JJ.!: --- -t,~"g T:=:}M W ~'ji is, ilT U 1'l-_ *it~:

; 1

u. = bi - L l;kYk ,

k ~,l

Ifu" ~ --~ 1" - f -. ffl ,m p;o 15 tl u x = y IJ!~~J U J--U jJiJ jflJ Jf Hl !'fJ I' '11-\ it; * fi#.

WII 3.7.3 "tjgi£·rHJi~$::?.f£ AX =- fJ tf;;j<:fIVL ftql.>l E H__TI/tt -n·,~)f, A,X EO u=».

-k'. X = i.xr, -- .. , :£1') :fil H = !V1, ._ . , hp], NIJ l), T rnj~ -nr Jtl T:_;j( ltJ ;:f:1JHf'J j'i-: rtf- X:

" 74 .

{r:n JA = LU

(3.7.12)

for ;.,_, = 1 : p

*1Wt L1./ = .fbI,; *~ UXI,; = y

end

~~~QR~M~~@~*~~~m.r~~-~~~*M .• ~~*fiQR~. rfJnJW:.

3.8.1 QR 1tNHfj't1flti:

iEi.! 3.8.1 (QR 51-Rfl) t' A E «=», B. m? n, WIJ{ftEylj!E:)EfSm!i$ Q E RmXm ~ L ~::_ f~j ~p.!4 R E R'"?" {'f:fli} A = QR. ;£ m = 71, WU Q ;ll!_lE)t:re~; ~ A :ililU~~#(fJ, ~H~m~#ffi~~.~h~, ~fi~~~m~TQ~R=~~~-~. ~A~~~ WI:, ~!IJ Q fU R 1t;z;tl ill.

itE IV l if: JI!. ::;ClliI~ [2].

j)~ T _L it 0- JW fIiJ Ujt. - ·rtj~, QR 11- ilWJf ~ 1-1"1:). -n::!:Jili:.

:iEW 3.8.2 ~ A = QR Jik-i'-#ij3itlt'kWjIIjO A E tc=» ~ QR 51-ffff., ::Itli A = la""" a,,] ;ttl Q :::0 iq],'" ,qml llc1"U**tf], Jl!IJ

k = 1,···,71

t)f £IJ Jjg, 1f Q ::.: [Q I ' Q 2 i- Jt I:j:l Q 1 tl': Q l!9~~O- n YU ~1I. Jilt e<J 5t!:k:, Q 2 ~ Q a<J it '8 yJmi hY.: R9 5tJk:, fIlll

rangc(A) = TanWdQl) rangc(A)J· = range(QJ

jf"-Jl. A ,= qlRI fll RI = RU ; n, 1 : n), IW RI ~ R rFI.tl:.t.jJ n X n 1]"*. liE aJj ttn A = Q R 511 W4:1ll ~!f, k 1"11, ilJ bl. m til ~ if:::

I,;

aJ,; = "2::>'iI,;Qi E span{ql" _. ,qd

-;,,-,1

ttlrlt, span{al,···, ak} ~ span{ql"" ,qd· ~ffiJ, FE r rank(A) = rt; Mm span{al)···, ak} rrfdtt:m: k, M rfjj 1;H~~i:: span{ql' "', qd· j£.fJl ffJ~l~$7t n:r Jj '11: Jt111 tB. • i-l-:j'ft1:1l ATA = (QR)l'(QRl = RTR, ~Jlt-1.tfn~1l1L.'J1#LI:lt;~i:\?:, G = RT:!€ AT A (jiJ""F - -:__ fw C ho lesky [;:'1 -f. ftl -f- Jll'- i* ~1 ,tE X T ft!i it tJiJ X mx .p, R ''If; Vj\ j;J -'f 15 ~ ~ i1t ~ .

. 75·

T rm if ~i'F::' #:t "2t-lYcJ QR 5tfM'--.1t (*ffl i~ IE Gram-Schmidt it tf.J QR 5-riW, *ffl Householder ~ ·PjU'tfj Q R :B-fm flHfUf:f Givens mE t# t'8 Q R "* ffl1f-) tJ, It 't 11') IT R ~fj\d§q- tti:' JIlt ~p If J ,Ill! 1',J Jill )::I].

3.8.2 *mftJIE Gram-Schmidt ~aq QR *~

1'1- 'it if' kii:fUffl Gram-Schmidt lEx {t, 5Vt}E1i¥ A jjHr QR 51 m EfJ1J;!. Gram-Schmidt :iE3i:1-t1Ji't&~Ro-;ftjIj::l:Jn-trOJ:&: a1,a2,"',a" ;t2;)*1LttllEj::, _EI_m:~~ 1 rnl<i:l~ q!,qz, - .. 1 q" n:J 15 n. §J' 9[;, ~ aj ¥FffElE Y: 1t (j(J ~ '* Iii 11' qjl ap

e., = Ilalll }

q! -- qi!Rll

(J.8.l)

I

RIZ = q{faz }

Hzz = Ilaz- !1JRdl

q2 = (a2 -- q! RI2)! R.n

(3.8.2)

R13 = Qru3 RZ3 = q!ja3

R:13 = liu3 - qlRIS - qzRzsil

q:l = (a3 - q! R13 - qzRz:1)! R33

(3.8.3)

l$_j$_k-l

(3.8.4)

k-l

Riolo = jluk - L %Rjkll

gUg. = (5.. 'J 'J

(3.8.5)

J:t:q, Oij ').) Kronecker s ffi~. RIl.:W:4- m x n ~I$ A rrJ::y~rtJ:m:Jl al'a~,···,a", !J!IJJ;J, qI , Q2' .. - .s; JJ ~IJ ri1J :;: ffJ ~ Ii$ Q !=j A z rElJ ~- of J~ :k. ff'

A=QR

(3.8.6)

·76·

$ A jfJl Q I'l-J :tHoj - je Jl¥, $ J'fHl.1. .L Gram- Schmidt lE 3E f-t (j{J 'n i'! "4 itt ~ ~ GramSchmidt lEx:ft$, :Jt:J:J:~"iiJtJ"EIH~ 3.8.11ll'W.

III 3.8.1 ~A Gram-Schmidt IE~f{Ji;

Brork [30) .'8t:J.!ll" X>tt£.~ Gram-Schmidt .If.3Ctt~JmtJ,~iE, ~_t.'='fflmll:$ R eqj(,~:.f liH:tH'Ij, rtiJ:.Ii: W tlit 1ptoj" , *" A *-~:ft~ IJ\. ;i3:;W - #1$.lE 15$ ~41!Hj: IE Gram-Schmidt ft. A1*15t*, U1 mt/FftEiE3C{tMUIV{~ft ql (:i!!:j;}:JI!!. Gram-Schmidt lE::'iCf.t#dlllliJ), @ 11l11l"11fii~·M a2,'" .a" mJt~4:~ al il"t'rlr-J:B-., aD

(3.8.7)

t}±1bJJ:..iE., a~l), ... ,a~i) -'1 ql lE5t.

1'J.\!B, :#f a~l) ~rtJl)'tf.t, ifh\ a11}, ... ,a~1} ilIt~--SJ a~l} ~11(1(J5ti1::

R22 = Ila~l} II, q2 = 0.2/ R22

R2j = qf" a;l) , aj2} = a;l} - q2~j ,

(3.8.8)

n.tfttJ:il11:I¥J a12), ... ,al;} -~ ql' q2 fjJlEje. ~Y.:i!-jj:~, ~11'];tt"iiJU.¥f A.;fn Q ~E3tE [I;] -Wi 1)$. ~ 3.8.2 ~ ill 7 -tilE Gram-Schmidt 1t:1¥J iE3E. 1trlfM.

---i- ~l ... qk. -4 ~ k)

Q

D~""'~"'"

R .::::.: :::

. . . o· : :

m 3.8.2 tJ if Gram-Schmidt ii.

·77·

jJT%.fJTi&~ifJml£, :m1I'J1Nk qz §~*fj.."S:~ ql ¥fJt851!!, :tJ fh+"Ql' J1iZfM ~? JJI!. Gram-Schmidt it. n,t, * qz .fj] aa 1'1 iQ RZ3 ftJ ~tl.l ~

(3.8.9)

(3.8.10)

lt~.r.t (3.8.9) .!oj A (3.8.10) pJTl.~ ti:I, ~£~1fi'1dt1li.IE:1J1t % ~ .:=.tlJi i,jt&. jtjt: 1J:: 3 ;"RZ3! « I R1:ll B1, 1fit IE Gram-Schmidt tt:(li~>Hl~.12 rt.J ~ 1f!::W ~ flJJ .liP.,

3.8.3 j,Ufl Householder ~~~ QR 1tM

fiJI. fE 7t ~ 1m i~ 4'tl ffl Householder 5e 1A ~ f.llI. tt ~ m x n ~ Il$ A i¥J Q R #IW. -j;J T i1 i-t ft<J 1J it, ffi! J:E w.1l!f: A r2 il k - 1 iX Householder 1E:!'kJ§", B 5ebk A (k'-l), I!P

A(k-l) - H A(k-2) - H H A

- k-l - k-l'" 1

_ [(k-l) (k-I)... (k-l)]

- a1 ,a2 , , an ,

k ~c 2,3, ...

(k-l) = [ (k-I) ... (k-l) 0 ." O]T

aj a1)" aJ] " , ,

j=L···,k-l

l*.I.tIt ,m k IX Householder ~ 1* !'¥J § I¥J $t ;;It ~ flf -mJ k - 1 7lJ /f~:1I::, ,:%:Em A (k-l) fji] ~ k JIJ tt:J T:i£:1:~,

[ (k-l) (k)

atk~ 1) l ak,k 1

H- Uk+l,k _ 0

k -.

. .

. .

(k-l) 0

am,k

u, = [1ko-l 0] k - 1

iIk Tn - k

k-l m-k

li~.ft1n:5t-~lj~:i£T~_iE Gram-Schmidt l'!fIl Householder l'tM'fll QR 7H1f.1iit;, f!:! ~~~~.¥k~.~~- .T~~Q~.j~~R~mjfiftJ~%M~"&MOO~ A3 !t Jj!l~, jlJg 4;- Jl,jot:! ifi] ti<J (liE I!flIW ~~~).

3_8.4 * ffl Givens tdUHfJ QR ~.

Givens 1i;t$# -IE. ilT ~JJfl :*-61'W QR %/fi. . .:fH'J J;1, 4 x 3 ~Il"f JJ~JiQ UJJ Givens QR :5t1Wfj{J}~,~,

. 78·

[~ x ~l ~ [i x xl [0 x ~] ~~ [~ x ~l ~
x x ~ ~ ! x x
x x x 0;)
@ x x x \5'
[~ x ~l ~U x :1 ~ [~ x ~]
V.
) x x
e- o ® 0 0
0 0 ®_ 0 0
;tt II' SJ R7f-HJ Givens ~t4':i!l:1i10j~I¥.J_jG%.
tA.J.:.1tiQ f!Jj 00 l' % 1-1Hf::l ~it: ~L1-*~ GJ ft-R~1-t:u:lM rp (J<]~ j o: Givens ttfEff, !JlU
qT A = R!Jo_t ~~ Jfl)iEII-'t-, Jtrp Q = Gt··· G1, t ft::,~~%E~{j(~.
3.8.5 ~T QR 1tM~~Jj1~it(oll! ~ ~jfHL1 y, = rb!& + T;, i = 1",', k rt:J-ill:!&tt1Jf'lLJt9J Yi ~f;j;~~ I:f::\, T'i 11~ h:' ;fdill #: 1& f\iJ Ii!: {I"il r tl. J.m U * flYf 3tH" .:::~ * (OJ mit

(3.8.11)

{\1iIJ, Jt:tr AT = [<Pl,¢2,"·,¢n]' iP:iJ£ k 2: n. ;ff A ;:~njlij~J~, OOtl:rt (3.8.1) fliJum-;f]lZ/J" it 1t: Q: (j* E8 A 1')1' J~J jJj i¥J "~13,f£" Mi JE :

(3.8.12)

_L:r\Y.IlT~n- R()' = T', Jt~p R = AT A iii r = ATy 1¥.Jj[;¥MJiliff$HB~mffJf;JJ.1J4:. n tt * ffl!frt (:1.8.12) ErJ 11 r-t ~~ 11&: t1J.11 ~}j 1:t:, ifrJftQ it,. j1} 13 ~~ 1l1~ R .tfJ Cholesky 5t 1m:

R ,,-, GCT, m JEl :tIl J-I--lli~ 1\Jlj~1~, = ffl m jl$ J.f W c" rr- = C-1r. ;!; rtri, IT! f R = AT A ~ ~t'f 1& f.! A tf.J *" # .'fdt.J '¥ 11, ~ .tit, H fJ it "::rt (3.8. 12) ~ IIJ (JIJ f@Hr ~ n~ JL fIE m: m ;G fi!J (IW5k 1l~1~*), MDit A *:~ Ifl~#J:Cf*, /Fft:fE:I:~;5t!1.

tr¥tftffi1& 8* I¥J FlJil@rlH'IHfhJUp, tjf-*frJ~1t:lti/J\__:_:'* (RLS) $, (m-1tBtFiiiJ !'fl- iR. flfl. ~ ir#l! If.JiHt:or~hl}(mJ\ [12] ~ [29]) fU UT DU %JW~ [13[ $;liHtMl1F1i &:~ ~/!~ R itl h~ if I¥J. 1Il.1!.\ UT DU 7t- M (Jt rr U )(}_l:..::::' ~, D ~ ;\,t fifJ W 11$) :fiJ& 11£ .L tt. ~ ~ ~, m~~@a.mW13~&~#~~~#m~*oo~~.

ffi U: L --I", A ifJ Q R 7t-1W1!f:1T T mUiiJ J1! tt<J ~ itt: ~ /G Jt . l~ Wi 4'-

(3.8.13)

Jt: 9J Q ftIo k x k iEX:~Il$, R ~ n x n 1:. ~jIH9J4~.

ItJ T- Euclidean * J3t!!X. L2 1i1 ~i(ilJ L1J IE 5E~f.k-tJiLt:!t:;y;; ~, J>Jf 1_'), P:; (3,8.1) ~ -fft- T

(3.8.14 )

min IIRB - Yli~ + Ilyll~

e

(3.8.15)

·79·

J-t rf QT y = [~]. ~IL~ Y tE. B %Hn iilf, it (3.8.11) I¥J t!H\1t1t S: JJ;t'"ilJ j;J. ~J m >J(M RO* = if l~1-ilJ, ~Jlt1JW1tti~ n(n + 1)/2 t'X:E •. J&'J'7l~{j[~T IIYil~·

*~#l m:lI.chl]~, 1tir'FiJ I». ~ tf:I j\ (3.8.11) 1£ (k + 1) Bl~~ tfJ }f;j\:

(3.8.16)

~-Kjjg*, J:.~M.>jZ.t9:;fftt1-*fWIl!&tJ!A.I¥J, ;!t~::f~. Jk£(!;!:*, 9nf<iJ"f1ii(fi'3!Im [1.1] ~JTu, .r\ (3.8.16) 99ttH'{'t~:I:~fft;}!J"fj£P:; (3.8.17) 1¥.Jf&'J'1-t1tY:, -rmJ§:tr~~1tm%f ~*_tmr.

iJlJI 3.8.1 -* A = Q [~k] fn QTy = [~ ], lt~ Q Jt:iE5c:WIl$, u, ;IlJ:-=.ff1~

~fl~, lillJj\ (3.8.6) I¥J.fR/J'it~I:~IGJT~~I¥.J.m.'J'{t~it:

(3.8.17)

(3.8.18)

tu

(3.8.19)

H:;ffi:i~:t\ (3.8.16) ~~15W .tF AO" = AT y 1¥.J:liH\=*rll] R! jj(] $(3F,rID:rt (3.8.17) ~1t>1J f? iF flo· = il? y aq ii/J"=* rllJ 1m tn~jf" !±J.Jt (3.8.18) f!l~ (3.8.19) j'[I!P~' ¥U*~I 1m. • !m*:t{fJ'-\ (3.8.17) ~m+f-t~:l:i2.-M= 6k+1, »B~jJTrrnlttffl;SHi1Jj.\t-!JiU 8k+l' !til']

~~}[;niffi~-x.t~T [:~:] :lzHi:i1!tij, bt%1tt Rk+l' ~JfiW*~-=:jflliBll¥1J.f3l Rk+lBk+l = Y k-j.j RPny.

~~. ~~*m~h~§~m~rr~QR*M1t>~~.~QR*~I¥J~*.~. r ilii :Sf Mil 11' m 5fU jff :ii * JrJ Householder Q R 71- WI,fj:l:i!ii: * I¥J Gi yens Q R * ftfl ¥;; fil{; rn B13E ~ h fr~' rt .

. 80·

3.8.6 Jl.:r: Householder ~ tl atJ~ii 1M"Sl:" ~H\t~it

o

ain,

ai,m+l

(3.8.20)

[R'1 z" 1

::::::: ~ . . . ..

o 9'1

o

o

Jt9J R'1 ~ m X m .r.:::::'Jr:jj;£Il$, 't"~ A~ e<J1CJ:jfl tf(]iRn!~, z" :tJ m xl 1IiJ:S:.

11 T~¥lJi\ (3.8.20) JW~ (fj QR 7t{fR, m~1f tt; 1'1 m 1- Householder ~:Wz:~li$z f.Q lsi

(3.8.21)

n(i+1J = H (i)D(i)

n n n ,

v(l) = [WD~_l]

n 1/;~

i = 1,2,···,m

(3.8.22a)

(3.8.22b)

(3.8.22c)

(3.8.2.3 )

i=l,· .. ,m

(3.8.21)

(3.8.25)

·81 .

(3.8.20)

HI r u(i) ffl fJtr (i - 1) 1'71 !It ~ ~, I'i a;:l = O(j "" i + 1, ... ,n - 1), ?JT J;J..it (3.8.24) ;f'u.it (3.8.26) or J;1. rHHUg

a. = (a(i1)2 + (a(il)2

i . t~ tti

(3.8.27a)

_ ( 1 (ilI2)

a, - 0: 0:. + a··

1. 1"1. n

(3.8.27b)

, {(O . ((il)

aii + sign aii 0:, = TJi , J = t

u(.iJ = a(i) J = n

J ni ,

0, ;ttl:.'

(3.B.27c)

~~ i = 1,2,···, .§.

(3.8.28)

j = i, i + 1, , .. , m

(3.8.29)

7J J}IJJij.rt (3.8.27) f[b\ (3.8.28) tttf.rt (3.8.25) ~ lB u(i) f[] a.. !Vtf~irj T lim ~ Householder QR 5tMJfrt [10:':

for j = 1 : m

" = (/:1 + sign(a(i))o:,.

<It U 11 1~

,,' - 71 /0' . ,,' - a(i)/O' . ·'i - ii,,.....-i -- ni i~

for j ::: i : m + 1;

_ (i) (i) (il.

Tj - 7/iaij + ani anj,

(Hl) _ (il I.

aiJ, - aij - TliTj,

(i+l) _ (il /,

an) _. anj - ItiTj'

end

end

(3.8.:iO)

i:t-ti-t:t:q:o, 8~W;r~YEf QR 71fW(!g §.@:)\Il~lt1i!lil'~:;,t, ~J9Jl:§mJt~ [22],"" 126] Icjxlfik [11], .lZJtI;.:~ntUE!::!troJB~, '81rTmm !W1'-*7fAiJJjwm~: 1) Jim~¥r QR 7TfWt QT A = R 9=' lJiJ ...t.=.#!~1lt R; 2) J.H lilJ {-t~t*M = m *EIl1fJf;f'f. E8 TA~(t{Hi!J f~\m~

·82,

O(m2) lXili. (m h:tt1~tc!:l), f51Jlt, !!P1I! Householder ~i"i!:¥f'~:ii, ~1-Elm@.~Hg is yffij ~ O( m2) IX j~ •. Jt Nt [10] ~ _t.~ 1'R 3l Householder Q R ?t m:lt1t fl:l :t.m-::: jh ~ ~~ 15:fM I¥J fu/ fC $ ti, B~ * -,;;- m, ~ It T .R Jt.1'r 0 (m) !t ~ J!Un 't:R .i! Ella: Jili ~ ~ ,J't {;$: 1m TfJfit.

% 1. mMlft

n = 0; (} = on; 8 = 0; f = [1"", IJT;

% 2, :i!*~:a

f = ui]; f' = -ws; f'l = ¢,,;

% Householder 1t ~

[J = L 11' = j",+1,1; for i = 1 : m

Ill! ,~ 11'2; 0: = J fj~ + JIll;

a = 0:(0' + 1/;;1); p = 1- Il"/eT;

17 = f,i + sign(j;;)o; 8, = -sign(j;;)ll[J' /0:;

h = - .. sign(jii}O:; T = (17fi,7n+l + Il' f 7n+1,m+1) / a; 1;,,,,,.1 .=c 1;,,,,+1 - T]T;im+l,rn+l = fm+l,m+1 - JIlT; JJ .. '-' IIp: JJ' = JJlm+1,i+l;

end

% @ft

I ~'" 0; S,n -::cc - lm,m+1; ()rr> = 8m/ITn,m; for i = m - 1 : -1 : 1

'Y = 1 + fm+ ],i+1 ()i+1;

s, = - /;,,,,+1 - 50; OJ = sJ Iii;

end

% 3. ~Lt~*,J

if T.Flag _.= True Stop

else

goto 2

end

X:~ T.Flag fi:Wi'fM~!r.tj;B:.

JlltE:::tjm:¥.7~~-fllJ3ltW1jit: ;iilHt;j(M Bk ~~ft.t Ok' mj/FHofH~.i~Ht* 81<+1 4: t1. tl1:l]i~iSL !t1i'JfIJIi~;r\ (3.8.17) *M

(3.8.31)

~p tn Ok-

1flkIExJ!l:~ Q JJt:JlI, '8$1 JE,

(3.8.32)

·83·

FE it (3.8.17) ,(3.8.31) :fIJ (3.8.32) £ 'ffi, s, ~ r:Lt (!(] W: IJ~{t.~:I:,

min II Q [ >:k ] 0 - Q { [ Afh. ] - [ )..!!k ] e k } II

$ .:Pk+1 Yk+! ¢-k+1

mjn II [ RO+l ] 0- Q •• II

(3.8.33)

(3.8.34)

(3.8.35)

11 T*I±ITmJf.Jt (3.8.32) tn Q, pYI;litffl Givens :!jZoo1itH~*rrt=Il~, J.;I.a~i1i!A (3.8.32) >P I¥J 1>[+1~' B3T Q 1Hmti:*j\ (3.8.35), JiJfW.:!U1X1±ttJ"'~~~

(3.8.36)

tI\ if JiJf ~ ~ e<J tJ Mt; .

~%~L*~, ff~-W~*~~~~~e<J~.~r: (1) itlln.m:iJ!l@:& Yk+l - 1>I+l(}k (rWJ¥- "lspr");

(2) %Ji\t:r.t (3.8.36) ~I¥.l (n + 1) x (n + 1) 1£1!$ (-=fW.Ff "newqr");

(3) .fIJ ffl- *"J Givens 19E~ ~ J:.:i!~Il$.Jj£-1Tl¥JftU1 n 1-:IT;~tl ~11~ (-=fWFf

"sweep" lil "givens");

(4) fIiLi:..=:.ffj ~1l$1:fW (3.8.34) :f4j1J s, (T~Ff "solve").

rifdR:tUffl Givens Mi~*IlU~tlW~1:fW A(} = Y l¥J~t!Uil/J~=~.1if19 MATLAB

llH¥ [141.

function X = lspr( A, y, ),)

[m, n] = size(A); z = zeros(n, 1); dx = zeros(n, 1); for k = 1: m

.:p = A(k,:)'; e = y(k) - 1>' *x;

[R, ybj = newqr(R, 1, e, A)i dx = solve(R, yb); x = x +dx; X(k,:) = x';

end

function [R, yb] = newqr(R, ¢;, e,),)

[m, n] = size(R); BigR = [R zeros(n,I); 1;' el; for i = 1 : n

BigR = sweep(BigR, i, .\);

end

R = BigR(l : n, 1 : n); yb = BigR(1 : n, n + 1);

·84 .

function A = sweep(A, i,'\)

[m, nl = sizc(A); [e, s] = givcos(A(i, i) * A, A(n, i)); A(i, i) = r; A(n, i) = 0.0; clam = e * A; slam = s * A; for k = i + 1 : n

a = A(i, k) * clam + A(n, k) * s:

A(n,k) = -A(i, k) * slam + A(n, k) * c; A(i, k) = a;

en d

function x ;:;: solve(R, b) [m, n] = size(R);

for k = n . - 1 : 1

sum = 0.0;

for j = k + 1: n

surn = sum + R(k, oj) .. x(j, 1);

end

x(k, 1) = (b(k) - sum)fR(k, k);

end

(f_tOOi(jiJ.it~, r~JBtM~~ A fflrOJ!l y J~Jfl Givens .4fH#, lliIJlt7C'mt{f~JEXjE Il$ Q.

fJll tE, ft 11'] -* ilL!J~ );£ Ii$ ~ ¥; - # )t M , ~ p m jr$ A st fW. :19 -=: 1'- ~ li4' I'fHIHR , :~ 1'te: Il$ ql 3i1j.;- H -1'- ~ ffl Wll$fn -1'-X1 :AH{!Il$. Sl;1fJ 5tfrfB LDMT :ftl LDLT iJJi;ftjl)tffP1. :;M; rp, LDMT 7tfl¥IlJI;I.:fi"ft~ LU *MI¥.J-#Je~, mJ LDLT 5T1WmU~ LDMT *fIIH'fX;Jlt~ j:lf ffll£ - F fl{J - 1- *f i9iJ .

3.9.1 LDMT:i1l LDLT *M.

:;:Ell 3.9.1 (LDMT5tffif) :;g A E R"x" ~§T~T~~W~~~'~jflil, mU-ff-tE~-tjJff - [8 !~'i{~ T -=:ill ~ ~ L fa M i;J.li - 1'-Pft - ~ xtff3 ~ Ii$ D = diag(du···, dn) if~~ A = LD_;_\1T

liE 1m HI:iJIJ:lI! 3.7.2 j;J], ~ Itt A 1'f LU %1W A = LU. ~ D = diag(d1,···, dnl, oK rp

di = l1;i' i = 1,·,· ,no 1±:&~U D JEi~~:f¥tf], # _§_ MT = D-1U ~-&'tliL_t-=-JHf;E!i$., f!,i.l!t .4. = LU = LD(D-1U) = LDMT. )tMI¥.JIli-i1PTJ.:)M.;E~ 3.7.2 JWii LU 1:f-fIilfl¥.JlIl-tt 1~~J. •

_L lHi tJlJ iJ£ aJ1-*= ~fl, *2 ~ I¥.J LD MT 7t ~"ill !_;), fVtf L U 5t f6H~ l±\, fiH!: J:, - # !I! ~ ft 1fl $i Ydm [8:ftl-: L, D f[] A1 -=::r£ Il$ ff.Lfiflht.1) l*.

m. Ji:jE Il$ L i¥]rjii j - 1 }tU, ~;f:frJ ~E jlff. D I¥.J xt1h!tJi; *' d1, •.. , dj -1 i11iHIiIl$ M I¥J WI j - 1 new (Jt rf1 1 $ j $ 11). ~ T :tit ¥IJit. L(j + 1 : n, j), M (j, j _. 1) :fIl dj tt1 iiR: ~ ,

·85·

A(l : n,j) = Lv

(3.9.1 )

L(1 : j, 1: i)v(l : j) = A(1 : j,jl

(3.9.2)

L(j + 1 : n,1 : j)v(l : j) = A(j + 1 : n,j)

L(j + 1 : n,j)v(j) = A(j + 1 : n,j) - L(j + 1 : n, 1 : i - l)v(l ; j - 1) (3.9.3)

d(j) = v(j) m(j,i) = v(i)jd(i).

i = 1,···, j - 1

~Fn, x_-rjJlJ.M..A: (3.9.3) Mtfj L ft{Jm j :Ytl. ~1*$p*:ru::n~- [1[.

)Ht 3.9.1 (LDAIJ 5tffff) ~ A E R"X7< #tI:: LU 5t-/6¥, !J!UTffifrr:J:¢1*it_4t{lt:T-=- 1i'1~1lt L fI1 AI /._;l.l;tx;fifl~1!$ D = diag(dl, .. ·, dn), *itr~ A = LDMT. 11'::9!tlH:l~~,

aij 5tWl1f1& [ij(i > j), dj(i = j) fp mj,(i < j) .

. '

for j = 1 : n % ~fmL(l: i, 1 : j)v(l ; j) = A(I : i.i) v(l ; j) = A(l : j,j);

for k :::: 1 : j - 1

v(k + 1 : j) = '!i(k + 1 : j) - v(k)A(k + 1 :], k);

end

0/,) it,nH(j,l: j -1), #1FMf#A(l : j - l,j) for i = I : i - I

A(i,j) :: v(i)jA(i,i);

end

~\. if1*d(j){[A(j, j) A(j, j) = v(j);

% -\'-j-~L(j + 1; n,j),1f-MitEA(j + 1: n,j) for k :::: 1 : j - 1

A(j + 1 : n,j) = A(j + 1 : n,j) - v(k)A(j + 1 : n, k);

end

A(j + 1 : n, j) = AU + 1 : n, j)jv(j);

end

:iUJ* A H::X1"fFWJl!f., mu LDMT 5tfflHlllt:XJ LDLT )tNt.

·86·

:iEJI3.9.2 ;fi A"" LDAIT ~--l~-{;j-HlJiJt.11#$~1l$ A WJ LDAIT 5f~, !J!U L = M. iK ~~ W pt M---I AM-T = JI-1 LD W\:;likx,ff* ffJ, X£ r?ifJ ~, [! J1t;li!:X;f tIH{i~$. fH T D J1o~~ {;jW< m, aT Jj:i3: B"; ~ ~ i'vl-1 L ill ~ M ffl EfJ. 1!:!:fio:, ,,,,,[-1 L :JiIo ij!{\[. T -=: flI fI<J,

J<JTU M--IL::-o I. 3,9:2 .ffifl(.{3i~

[l:rl!!~ * - ~, flu Jf!: A E A(Al, lJ!rJ1ffiiJ fJIij JE

Ax = AX

!'j';:H~~lhJlif x E en ;frJ;t'FJEjl:t A ffj-1-*ftrEriiJS:. ~~~~~RTffi~f~~~~A~~~-~~~~. ~-ft~.A~tt.

xES ===} Ax E S

AX =XB,

By = :Ay

A(Xy) = )'(Xy)

I:kl lit, !m.w: X J-l- H~§~fk, n~ 2,. AX = XB ff,tf:il'l<:~ )"(B) ~ _'\(A) . .i!!-Wft!J.. * X ~ _lE1J~I~;fn~~t)-:Wm, ljlV >.(A) = >'(8), #1#]\ A:f!l B = X-lAX ;Jt::.Hliu'(ji1. tF:tt-t-~_>(

L. fUIJ¥t X #J\JJ;ffiM~~. ~mm~~~,ft.re-1-~~~~~M~~~#~~~Z-.Mftm.~tt~~, -fIjJH [j W. flt Ef{J ffl frJ. ~ ~ El ?!.\ :liUt~ fl ,~g! jJ I¥J-

sill. 3.9.1 * A E c=», BE c=» f.p X E c=r lilIIJE,

AX = XB , rank(X) = p

(3.9.4)

ll!llfH'E-- jI~Up' ~ U E Gnx n fif: {,If

U H AU = T = [T~ I

(3.9.5)

p n-p

:J't 1+1 >'(TI1) :-:0 )'(A) n A( D). iiE 1m i9:

[1'

Tx = ~l

Jt:rf1 xl E GI' fn ;C2 E c-:». "ilQ.:W: ,1":2 -f 0, I)JU T22x2 = '\X2' fJ>1J1t A E >.(Tz:!l. :tJ:~* .".1:2 = 0, II!!J Tllxt = AXl' Y ... ITff _.\ E >.(T1I). -filk, A(T) E A(Tll) U >'(T22)· iliJf::, Bif A(T) jfQ A(TIl) U _.\(T22) ~-::~;t5. Ji 1d1l1UJ m Jlt; M!tt Jiff J;,( 1:; 1f'J tft ~, RP

(3.9.6)

·87·

:ftJ J:fl R I¥.! 'ii'-1ij- #tt. J;J. lit ~rt T21 R = u :m 'Tn R = RB, Ilfl;,(:m l:H!i!i iQ;, T21 = 0 .fQ ..\(Tn) = '\(B). Y. EI:r;:t (3.9.6) fl '\(A) = '\(T) = .\(Tn) U .\(Tn). i'$ if:i! jfJg 1'- gait: ~p M >.(Tn) = '\(Al n .\(8). •

3.9.3 Schur 7t~

Schurr 1909 if. ~ ill ~ ~ Il$?t M- [l5J Ji':: ~ Mt ~ ~ !f1 t!i ,ffi M ~ £k, 1fij.fi fq Jf:J s I Jj 3.8.1 ~T I;!. iiE Ii8 Schur ?t ifJlHrrf :i£ ft JJIt .

~JI3.9.3 (Schur ?tfFN) £' A E cnx",Il!Ij:fftE~l'W~W U E cnxn 1J!1!J

UHAU = T= D+N

(3.9.7)

;!'l;: rp D = diag(At,· '., ),n),l3. N ;lEFt-a .L == jA ~iUt..

iiElI.ij ~ n = 1 lit, ;EJOm1£U'?,\J£JL. iWfi::.iEJlm n -1 1lftJi1t.3"L. $fAx = .\x(x '" 0), oolJ iii '31 llI! 3.9.1(~ B = (>'ll ~, {t:f£-1-Wj;E~ o» A(j WilE,

(fHAU = [A wH] 1

o C n-l

1 n - 1

rn !f1~~~, ff:tE[Ii~~ fj ~{' uHci] ~ l.?:ff:I~Il*. ~iIt, ii U = Udiag(l,U), Jjllj U H A U JiLt..=: jfj ~ If$ . •

;g U = [ui,··· , un] ~ @"~Il* u i¥.JJlJ 5tfR, !I!U u, ~.11 Schur InJ 1:. 1:- AU = UT ~ :ill ['8 y~ rtJ :liUfI ~, t13 A (3.9.7) I!D 1lT ~ J:!lJ Schur 10] iiill'i JE~ ~;rt,

.\;-1

Au~, = A'\;Uk + L nikui' i=ool

k = 1,··· ,n

(3.9.S)

SI.; =span{u,,···,ud,

k = 1,···,n

·88·

To = vt! AUo for k = 1,2, -. -

T"_1 = u.n, CQR5tm) Tk = RkU ..

end

(3.9.9)

(3.9.10)

ffi J1t, 4lt -1- r; _q A J! M tlH~ tn. :i!* f!ij, t; JL -11-,~!! 1&fiIr ~ J:.::=::m ~ ji4;. I!P ~ 1St, J\ (3.9.10) JL -¥ ,~, Jil: "t&fiIr" ~ t.e!i$ A rtI Schur :5t "'.

I51-'(;Jt (3.9.9) ll~iiVl QR ~f\:, ,(::~it:tJ Schur 7tm.rfJJii:ff~t1r1Jf2;;. OO;T QR ~f\ *,~~~#~ffi~~~~a-~.~ft~~~~ft.,m~«w@~~.~.OO~. 11, pp.351"-'357J.

:iEJ.f 3.9.4 (~m Schur ,HU¥) ~ A E tr=, JilIJ.ff:{£ ~lE3C:~~ Q E tr= -(f:~

[Rll R12 .,. RIm 1

QTAQ= ~ ~2 .... ":

. ~ . ~

. ~ ~ .

a a .'. R

m7'!1

(3.9.11)

Jt r-p Rii ::l!J!:tf j[ :tHIB*f tiE {R fI1 1 x 1 ~ ~ 9-1; 2 x 2 ~ Il$. liE IIJJ ]A!. Jt M1: [1].

- J:l_~iIl Schur 5tJW QT AQ = T it.I±H1E,g, ltij']~PJ0.>t :±l~$I¥.I~w:[tiJiI:.

4- q(O) E en ~!JS" JE {fJ!f!.1tt: 2 1t!1t fIij ji, jHF1JE A ~ ILl E Rnxn ~~1it#. Too ffJ.i£ t4dt &~1-~ (inverse iteration);

for k = 1,2,···

.1tM(A ~ /ll)z(k) = q(k-l) g(1<) = z(k) /lIz(k) 112

A{k) = [q(k)jH Aq(k)

end

(3.9.12)

&.:t!i f~ r.l: ,?,.t:f! X1" (A - 111) -1 [{iZ J:Ij {fHr~ ~ ~ it :n it .

1X i* f~ or Jj, fn QR !l ~ - - ~ ~ Jfl , J;J. * I:fj *f M (~HIj;HH~ I¥.l & 111 [<.1 il::

1) it- ~ Hessenberg 7t JiW- ul AU 0 = H;

2) X1 H liYJfHf1* 3.9.3('JC fffi * ~~ (f.] ~;fR);

3) 19: 8 it-n ill tJiJ ~1iE {fi x ;ffi X1 m I¥J~ tiE !oJ. x ~ lht.l'n, -t A = H til J-t = x, :# )j\]}:j:Lr-\ (3.9.12) rz:1:.1'Ve. Hz;::o J-tz rfJ rliJit z;

4) 1- x = u,».

·89·

;# 'f" :% X'I fJ\ ~ Il$ , !t itJ ff

:iEJI 3.9.5 (m~~ Schur 5tM) 15 A 1& --'1'~ 8IJ n x n X;j¥F~jl$, lj!IJf¥fF. -1-~ lJ(] olE x:W Il$ Q rM JE:

QT AQ = diag(,\,···, An)

\iEPjJ ~ QT AQ = T Jil:JiE~ A ff.I~iii Schur *M. my T t3n:X1~ffJ, IWU T £,

J£ it 1 x 1 1!!JltHll 2 x 2 ~!l$ f81l fU, ~ ITO ,?6 ~ l}@:i.iE, 2 x 2 Xi ~ 3€ jl$1' PI fj~ ff M Uli i'JiJ t'HiE iM , it!. T#;it xt JH Ji 1:. T liT fre fJ" 2 x 2 T i-e 1i*.tR:. • *~X1~~Il$~~hlm~~~.tt~*m~.QR*m, W£~~,

3.8l)f£~ ~ QR 7tJW:1HtX1"-IR~ Mo~. rW~1fj:mi:;ftilJ, x11ij\mjl$ft] QR ,.)-m ~.*-wro~- M~~£*m.~~M~.~~~~~~, ~~W.~X1M~~X1M it.

1. Householder ::: 1t m 1t1t Ji¥

-

fHE Householder :liE. ~ HI' ... , H k -1 e. f:i: 1«1 ;;.E, 1f 2. if. ~

Ak_.1 = (HI'" Hk_I)T A(HI ... Hk-i)

[Ell B12 0 1 k - 1

= E21 B22 B23 1

o B32 B33 n - k

k-l 1 n-k

rp lfIJ-=r-~1l$ Ell ;Il!;-:::::x-titHJ:!Ii$. ~fE, 4- fIk ~-1' (n- k) x (a-k) Householder .:Wilt, E1<f~ H",B32 ;;Ill;: (n - k) xl iUJit el i¥J;tJt1'18·tt, *rf:~-* n, = diag(J""Hk), 9l.timrlt:

ffJ Ie r.:m rEI k x k r~JI$~ = X1 ffl ~Ii*.~~, :fi k = n - 2, IJ!iJ (lIt' .. H,,_2)T A(HI ".

H,,_2) = T ~ :=x1if1 ~ WiO. ~ fIk Ji-if% it:

- 2 T

H k = I - -"7'""'[' V1J ,

V V

(3.10.1 )

tJ, 1-. 51-tIT * ~JJ ,n ~ it 1-1 = H; . , . H,-._ 2, :Jt rp Ilk = diag(I!.c' H k)' fl, £J k If! it (3.10.1) !i}] JE, !Il1J T = JIT AH :tJ_:::::x't #J 1U Il!f..

·90·