Canonical correlations of past inputs and future outputs for linear stochastic systems

Michele Pavon

Research output: Contribution to journalArticlepeer-review

Abstract

The dependence of future outputs on past inputs in a stochastic system is investigated by means of the canonical correlation analysis. In particular a classification of minimal stochastic realizations of a given process with respect to the information transmitted from past inputs to future outputs is presented. The results are then rephrased in terms of certain block-Hankel matrices and their relevance for the Hankel-norm approximation of stochastic systems is discussed.

Original languageEnglish (US)
Pages (from-to)209-215
Number of pages7
JournalSystems and Control Letters
Volume4
Issue number4
DOIs
StatePublished - Jun 1984

Keywords

  • Amount of information
  • Canonical correlation coefficients
  • Hankel matrices
  • Hankel-norm approximation
  • Minimal stochastic realization

ASJC Scopus subject areas

  • Control and Systems Engineering
  • General Computer Science
  • Mechanical Engineering
  • Electrical and Electronic Engineering

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