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Total linear least squares and the algebraic Riccati equation. (English) Zbl 0763.93085
Summary: It is shown that the solution to a total linear least squares problem satisfies a quadratic matrix equation, which turns into an algebraic Riccati equation when the matrix of unknowns is square. If there is an additional symmetry constraint on the solution, the optimal solution is given by the anti-stabilizing solution of this Riccati equation.

MSC:
 9.3e+25 Least squares and related methods for stochastic control systems
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References:
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