Block-Toeplitz/Hankel Structured Total Least Squares

Abstract. A structured total least squares problem is considered in which the extended data matrix is partitioned into blocks and each of the blocks is block-Toeplitz/Hankel structured, unstruc-tured, or exact. An equivalent optimization problem is derived and its properties are established. The special structure of the equivalent problem enables us to improve the computational efficiency of the numerical solution methods. By exploiting the structure, the computational complexity of the algorithms (local optimization methods) per iteration is linear in the sample size. Application of the method for system identification and for model reduction is illustrated by simulation examples