Abstract
The Structured Total Least Squares (STLS) problem is a natural extension of the Total Least Squares (TLS) approach when structured matrices are involved and a similarly structured rank deficient approximation of that matrix is desired. In many of those cases the STLS approach yields a Maximum Likelihood (ML) estimate as opposed to, e.g., TLS.
In this paper we analyze the STLS problem for Hankel matrices (the theory can be extended in a straightforward way to Toeplitz matrices, block Hankel and block Toeplitz matrices). Using a particular parametrisation of rank-deficient Hankel matrices, we show that this STLS problem suffers from multiple local minima, the properties of which depend on the parameters of the new parametrisation. The latter observation makes initial estimates an important issue in STLS problems and a new initialization method is proposed. The new initialization method is applied to a speech compression example and the results confirm the improved performance compared to other previously proposed initialization methods.
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Lemmerling, P., Van Huffel, S. Analysis of the Structured Total Least Squares Problem for Hankel/Toeplitz Matrices. Numerical Algorithms 27, 89–114 (2001). https://doi.org/10.1023/A:1016775707686
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DOI: https://doi.org/10.1023/A:1016775707686