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Ellipsoids
I ellipsoids
I ellipsoids in estimation
1
Ellipsoids
s1
s2
2
Ellipsoids
−1/2
semi-axes are given by si = λi qi , i.e.:
note:
3
Ellipsoids in estimation
1 u1
v
û1 1 un
!
1
û nv n
I if y = Ax then kyk2 = xT AT Ax so
x ∈ Rn | xT AT Ax ≤ 1 y ∈ Rm | kyk ≤ 1
maps into
4
Ellipsoids in estimation
1 u1
v
û1 1 un
!
1
û nv n
therefore
v1
4×2 b2
here A ∈ R with
v2
bT1
b1
bT2 b3
A=
bT3
b4
bT4
I x is unknown.
6
Example: Row interpretation
b2 b
v2 1
v1
bT1
0.5 1
A= =
bT2 0.25 1
v1 and v2 are eigenvectors of AT A with corresponding singular values
σ1 ≈ 1.5117 σ2 ≈ 0.1654
sensors are approx 10 times more sensitive to changes in x in the v1 direction than
in v2 direction.