Revistes Publicacions URV: SORT - Statistics and Operations Research Transactions> 2006

A matrix function useful in the estimation of linear continuous-time models

  • Identification data

    Identifier: RP:2299
  • Authors:

    Neudecker, Heinz
  • Others:

    URV's Author/s: Neudecker, Heinz
    Abstract: In a recent publication Chen & Zadrozny (2001) derive some equations for efficiently computing eA and ∇eA, its derivative. They employ an expression due to Bellman (1960), Snider (1964) and Wilcox (1967) for the differential deA and a method due to Van Loan (1978) to find the derivative ∇eA. The present note gives a) a short derivation of ∇eA by way of the Bellman-Snider-Wilcox result, b) a shorter derivation without using it. In both approaches there is no need for Van Loan’s method.
    Journal publication year: 2006
    Publication Type: info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article