Science in China Series F: Information Sciences

© 2007 SCIENCE IN CHINA PRESS

Springer

Constrained total least squares algorithm for

passive location based on bearing-only
measurements
WANG Ding†, ZHANG Li & WU Ying

Department of Communication Engineering, Information Engineering University of PLA, Zhengzhou

450002, China

The constrained total least squares algorithm for the passive location is presented
based on the bearing-only measurements in this paper. By this algorithm the
non-linear measurement equations are firstly transformed into linear equations and
the effect of the measurement noise on the linear equation coefficients is analyzed,
therefore the problem of the passive location can be considered as the problem of
constrained total least squares, then the problem is changed into the optimized
question without restraint which can be solved by the Newton algorithm, and finally
the analysis of the location accuracy is given. The simulation results prove that the
new algorithm is effective and practicable.

passive location, constrained total least squares algorithm, Newton algorithm

In the electronic warfare, it is vital to locate and track emitters, however, it is more significant
when applying the passive location to locate the emitters[1,2], therefore it becomes universal issues
of concern for many scholars that how to enhance the location accuracy at the existence of meas-
urement noise. At present the passive location systems can be divided into two kinds according to
the number of observation stations: multi-station passive location and single-station passive loca-
tion[3], because the multi-station passive location system needs synchronized work and data
transfer, the system has more dependence upon the situation of inter-station communication,
therefore the multi-station passive location cannot cause enough attention. Along with the un-
ceasing enhancement for microprocessor performance and network technology, the inter-station
communication no longer becomes the bottleneck to restrict the multi-station passive location
technological development, and in comparison with the single-station measurement, the
multi-station measurement can obtain more information, which is helpful to improve location
accuracy, therefore the multi-station passive location has become an important research field.

Received November 1, 2005; accepted May 16, 2006

doi: 10.1007/s11432-007-0023-8
†
Corresponding author (email: wang_ding814@yahoo.com.cn)

www.scichina.com www.springerlink.com Sci China Ser F-Inf Sci | Aug. 2007 | vol. 50 | no. 4 | 576-586
 In the multi-station passive location systems, the angle information is the basic measurement,
and many passive detectors (for example infrared, sound navigation and so on) can only obtain
the angle information[4], therefore it has practical significance to investigate the multi-station pas-
sive location algorithm based on the bearing-only measurements. The multi-station bearing pas-
sive location is a method widely used[3], and it estimates the target position by the geometry rela-
tion in three-dimensional space, so it is a kind of analytical method in nature. Although this
method is not difficult in calculation, the location accuracy is not high. The linearized weighting
least squares algorithm is also a kind of location algorithm widely employed[5]. Firstly it needs to
get the initial estimation of the target position and transform the non-linear measurement equa-
tions into linear equations by Taylor expansion, then the position can be estimated by weighed
least squares algorithm. Therefore the location accuracy is decided by the accuracy of initial es-
timation. If the accuracy of initial estimation is high, the algorithm can obtain the approximate
agonic estimation; if not, the Taylor expansion may cause linearized error to affect accuracy. In
order to increase the location accuracy the estimation obtained by the algorithm can be taken as a
new initial estimation, new estimation can be obtained by Taylor expansion in the new initial es-
timation, iterates repeatedly until it converges. But this method increases the computation quan-
tity inevitably and easily falls into local optimum. The constrained total least squares algorithm
for passive location is presented based on the bearing-only measurements in this paper[6,7]. The
problem of the passive location is transformed into that of constrained total least squares, which
is in turn changed into the optimized problem without restraint, it is solved by the Newton algo-
rithm[8], and the analysis of the location accuracy is given at last. The simulation results prove
that the new algorithm is effective and practicable.
The content organization is as follows: section 1 introduces the mathematical model for pas-
sive location based on the bearing-only measurements; section 2 presents the constrained total
least squares algorithm; section 3 is the analysis of the location accuracy; section 4 presents the
simulation results; and the conclusion is given in section 5.

1 The mathematical model for passive location based on the bearing-

only measurements

Figure 1 shows the passive location system based on the bearing-only measurements, there are N
observation stations in the figure, the coordinates of the ith station is ( xi yi zi ), the coordinate
of target is (x ∗
)
y∗ z ∗ , the estimation of azimuth and elevation for the target are respectively

θi and ψ i , the real azimuth and elevation are θi∗ and ψ i∗ , thus in the following we can get
the nonlinear equations:
⎧ ∗ y ∗ − yi
⎪θi = arctan ∗ ,
⎪⎪ x − xi
⎨ i = 1, 2," , N . (1)
z ∗ − zi
⎪ψ i∗ = arctan ,
⎪
( ) ( )
2 2
⎪⎩ y∗ − yi + x∗ − xi

WANG Ding et al. Sci China Ser F-Inf Sci | Aug. 2007 | vol. 50 | no. 4 | 576-586 577
 Figure 1 The passive location system based on the bearing-only measurements.

It is not difficult to prove the system of eq. (1) is equivalent to the linear equations as follows:
⎧sin θi∗ xi∗ − cos θi∗ yi∗ = sin θi∗ xi − cos θi∗ yi ,
⎪⎪ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗
⎨cos θi sinψ i xi + sin θi sinψ i yi − cosψ i zi = cos θi sinψ i xi + sin θi sinψ i yi − cosψ i zi , (2)
⎪i = 1, 2," , N .
⎪⎩
It can be written in a matrix form given by
H * X * = Y *, (3)
where
⎡ sin θ1* − cos θ1* 0 ⎤
⎢ ⎥
⎢ cos θ1 sinψ 1 sin θ1 sinψ 1 − cosψ 1* ⎥
* * * *

⎢ ⎥
⎢ sin θ 2 − cos θ 2*
*
0 ⎥
⎢ * ⎥
H * = ⎢ cos θ 2* sinψ 2* sin θ 2* sinψ 2* − cosψ 2 ⎥ ,
⎢ # # # ⎥
⎢ ⎥
⎢ sin θ N *
− cos θ N* 0 ⎥
⎢ * ⎥
⎢⎣cos θ N sinψ N sin θ N sinψ N − cosψ N ⎥
* * * *
⎦
⎡ sin θ1* x1 − cos θ1* y1 ⎤
⎢ ⎥
⎢ cos θ1 sinψ 1 x1 + sin θ1 sinψ 1 y1 − cosψ 1 z1
* * * * *
⎥
⎢ ⎥
⎢ sin θ 2 x2 − cos θ 2 y2
* *
⎥
⎢ ⎥
Y = ⎢ cos θ 2 sinψ 2 x2 + sin θ 2 sinψ 2 y2 − cosψ 2 z2 ⎥ ,
* * * * * *

⎢ # ⎥
⎢ ⎥
⎢ sin θ N xN − cos θ N y N
* *
⎥
⎢ ⎥
⎢⎣cos θ N sinψ N xN + sin θ N sinψ N yN − cosψ N z N ⎥⎦
* * * * *

T
X * = ⎡⎣ x* , y* , z* ⎤⎦ .
Because the errors always exist in angle estimation, we can only get the matrixes H and Y with
noise interference, instead of H * and Y *. If only the noise on vector Y is considered, we can get

578 WANG Ding et al. Sci China Ser F-Inf Sci | Aug. 2007 | vol. 50 | no. 4 | 576-586
the least squares solution
X LS = ( H T H )−1 H TY . (4)
If both the noise interference on matrixes H and Y are considered, assuming that the noise
components are statistically independent, the total least squares solution is written by[9]

X TLS = ⎡⎣v4 ( 2 ) / v4 (1) , v4 ( 3) / v4 (1) , v4 ( 4 ) / v4 (1) ⎤⎦ ,

T
(5)

where v4 is the smallest right singular vector of matrix [−Y H], v4 (i ) is the ith element of v4.
It is not difficult to find that the noise components in H and Y are not statistically independent.
In order to obtain their relations we construct the following equations:
⎪⎧θi = θi + ni , ⎪⎧θi = θi − ni ,
* *

⎨ ⇔⎨ (6)
⎩⎪ψ i = ψ i + mi , ⎩⎪ψ i = ψ i − mi ,
* *

where ni and mi are the measurement error of azimuth and elevation respectively.
Considering the Taylor expansion is given by

( )
⎧sin θi∗ = sin (θi − ni ) = sin θi − ni cos θi + o ( ni ) ,
⎪
⎨ (7)
( )
⎪⎩cos θi = cos (θi − ni ) = cos θi + ni sin θi + o ( ni ) .
∗

⎧sin (ψ ∗
) = sin (ψ − m ) = sinψ − m cosψ + o ( m ) ,
⎪ i i i i i i i
⎨ (8)
⎪⎩cos (ψ ) = cos (ψ − m ) = cosψ + m sinψ + o ( m ) .
∗
i i i i i i i

If we neglect the high-order components of noise we will have

H * = H + [ F1 E F2 E F3 E ] , Y ∗ = Y + F4 E . (9)
where
F1 = diag [ f11 , f12 ," , f1N ] ,
F2 = diag [ f 21 , f 22 ," , f 2 N ] ,
F3 = diag [ f31 , f32 ," , f3 N ] ,
F4 = diag [ f 41 , f 42 ," , f 4 N ] ;

⎡ − cos θi 0 ⎤
f1i = ⎢ ⎥,
⎣sin θi sinψ i − cos θi cosψ i ⎦
⎡ − sin θi 0 ⎤
f2i = ⎢ ⎥,
⎣ − cos θi sinψ i − sin θi cosψ i ⎦
⎡0 0 ⎤
f3i = ⎢ ⎥,
⎣0 − sinψ i ⎦
⎡ − ( cos θi xi + sin θi yi ) 0 ⎤
f4i = ⎢ ⎥;
⎢⎣sin θi sinψ i xi − cos θi sinψ i yi − ( cos θi cosψ i xi + sin θi cosψ i yi + sinψ i zi ) ⎥⎦

E = [ n1 , m1 ," , nN , mN ] .
T

WANG Ding et al. Sci China Ser F-Inf Sci | Aug. 2007 | vol. 50 | no. 4 | 576-586 579
 Eq. (9) shows that the noise interference in H and Y originates from the noise vector E, there-
fore we can transform the problem of the passive location into that of constrained total least
squares obtained by
⎧min [ F E F E F E F E ] 2
⎪⎪ X , E 1 2 3 4 F
⎨ (10)
⎡X ⎤ ⎡X ⎤
⎪s.t. [ H Y ] ⎢ ⎥ + [ F1 E F2 E F3 E F4 E ] ⎢ ⎥ = 0.
⎪⎩ ⎣ −1⎦ ⎣ −1⎦

2 The constrained total least squares algorithm based on the bearing-

only measurements
In the first part we have changed the problem of passive location into the problem of the con-
strained total least squares (as eq. (10) shows). In the complex field the problem has been trans-
formed into the optimized problem without restraint in ref. [6], but all of the variables in the
problem of the passive location are real numbers, we can obtain the similar conclusion in the real
field. Without loss of generality, we define the length of vector X is L (in the problem of the pas-
sive location L is equal to three), the jth component of X is aj, therefore the theorem is presented
as follows:
L L +1
Theorem 1. If H X = ∑ a j F j − FL +1 , G = ∑ F jT F j , C = [ H Y ] , eq. (10) can be trans-
j =1 j =1

formed into the optimized problem without restraint given by

T
⎡X ⎤ ⎡X ⎤
( )
−1
min ⎢ ⎥ C T H X G −1 H XT C ⎢ ⎥. (11)
X
⎣ −1⎦ ⎣ −1⎦
Proof. The cost function (10) is equivalent to
[ F1 E (
F2 E " FL +1 E ] F = tr [ F1 E F2 E " FL +1 E ] [ F1 E F2 E " FL +1 E ] = E T GE . (12)
2 T
)
Using the method of Lagrange multipliers, the cost function is written by
⎡X ⎤
L ( E , X , λ ) = E T GE + λT ( C + [ F1 E F2 E " FL +1 E ]) ⎢ ⎥ . (13)
⎣ −1⎦
∂L ( E , X , λ )
Let = 0, we have
∂E
2GE + H XT λ = 0, (14)
or such that
1
E = − G −1 H XT λ. (15)
2
The following equation is obtained from (10)
⎡X ⎤
C ⎢ ⎥ + H X E = 0, (16)
⎣ −1⎦
Substituting (15) into (16), λ can be determined by
⎡X ⎤
( )
−1
λ = 2 H X G −1 H XT C ⎢ ⎥. (17)
⎣ −1⎦

580 WANG Ding et al. Sci China Ser F-Inf Sci | Aug. 2007 | vol. 50 | no. 4 | 576-586
 Then substituting (17) into (15), E can be written by
⎡X ⎤
( )
−1
E = −G −1 H XT H X G −1 H XT
C ⎢ ⎥. (18)
⎣ −1⎦
Finally the expected result can be obtained by substituting (18) into (12)
T
⎡X ⎤ ⎡X ⎤
( )
−1
[ F1 E
F2 E " FL +1 E ] F = ⎢ ⎥ C T H X G −1 H XT C ⎢ ⎥ .
2
(19)
⎣ −1⎦ ⎣ −1⎦
Therefore the problem of the constrained total least squares is equivalent to the optimized
problem (11) without restraint, and this completes the proof.
Obviously (11) is a real non-linear function about the various components of X, it cannot be
settled analytically, therefore we use the Newton algorithm to tackle, and its iteration formula is
given by
X n +1 = X n − μn H n−1Tn , (20)

( )
T
is the gradient vector, H n = 2 ( H − B1 − B2 ) ( H X G −1 H XT )−1
T
where Tn = 2 U T H − U T B1

( H − B1 − B2 ) − 2 B3T G −1 B3 is the Hessian matrix (the process of deriving is in appendix),

⎡X ⎤
( )
−1
U = H X G −1 H XT C ⎢ n ⎥ , B1 = [ H X G −1F1TU " H X G −1FLTU ], B2 = [ F1G −1 H XT U " FLG −1
⎣ −1 ⎦
H XT U ], B3 = [ F1TU " FLTU ], μn = μ n ( μ < 1) is the scaled factor。
Now we have presented the constrained total least squares algorithm for the passive location
based on the bearing-only measurements. In order to speed up the convergence rate of the algo-
rithm, the least squares solution XLS obtained by eq. (4) can be regarded as the initial solution
vector for the algorithm.

3 The analysis of location errors for constrained total least squares

algorithm
In this part the analysis of the location errors for constrained total least squares algorithm will be
shown. Assuming the real coordinate of target is X*, from (3) we have
⎡X*⎤
C * ⎢ ⎥ = 0, (21)
⎣ −1 ⎦
where C * = [ H * Y * ].
Let the position estimation be X = X * + ΔX , the gradient vector of (11) at X will be zero
vector if X is the optimal solution for (11), therefore it can be written by
U T H = U T B1 = [U T H X G −1F1TU " U T H X G −1FLTU ]. (22)
Define ΔC = [ F1 E F2 E " FL +1 E ]. (23)
Therefore we have
C = C * + ΔC . (24)
By neglecting the high-order components of errors, U is determined by

WANG Ding et al. Sci China Ser F-Inf Sci | Aug. 2007 | vol. 50 | no. 4 | 576-586 581
 ⎡X*⎤
⎡ ΔX ⎤
( ) ( )
−1 −1
U = H X G −1 H XT C * ⎢ ⎥ + H X G −1 H XT
ΔC ⎢ ⎥ . (25)
⎣ −1 ⎦
⎣ 0⎦
Substituting (9), (25) into (22) and neglecting the high-order components of errors, we have
⎡X*⎤
( ) ( )
−1 −1
( H * )T H X G −1 H XT H * ΔX + ( H * )T H X G −1 H XT ΔC ⎢ ⎥ = 0. (26)
⎣ −1 ⎦
From (26) ΔX can be given by
−1
⎡X*⎤
( ) ( )
−1 −1
ΔX = − ⎡( H * )T H X G −1 H XT H * ⎤ ( H * )T H X G −1 H XT ΔC ⎢ ⎥ . (27)
⎣⎢ ⎦⎥ ⎣ −1 ⎦
From (23) we obtain
⎡X*⎤
ΔC ⎢ ⎥ = H X E , (28)
⎣ −1 ⎦
or such that
⎧⎪ ⎡X*⎤ ⎡X*⎤
T ⎫⎪
E ⎨ΔC ⎢ ⎥ ⎢ ⎥ ΔC T ⎬ = H X PE H XT . (29)
⎪⎩ ⎣ −1 ⎦ ⎣ −1 ⎦ ⎪⎭
Therefore PΔX can be determined by
−1
PΔX = E{ΔX ΔX T } = ⎡⎣( H * )T ( H X G −1 H XT )−1 H * ⎤⎦ ( H * )T
(30)
−1 −1
⋅ (H X G H XT ) −1 H X PE H XT (H X G −1
H XT ) −1 H * ⎡( H * )T ( H X G −1 H XT ) −1 H * ⎤ .
⎣ ⎦
If the components of the angle estimation errors are statistically independent, and the average
value is zero, the variance is σ , which is equivalent to PE = σ 2 I , we will have
2

−1
(
PΔX = σ 2 ⎡( H * )T H X G −1 H XT ) (H ) (H )
−1
H*⎤ * T −1 −1
XG H XT
⎢⎣ ⎥⎦
(31)
−1
(H ) ( ) (H )
−1
H ⎡⎢ H *
−1 T −1 −1 *⎤
⋅ H X H XT XG H XT *
XG H XT H ⎥ .
⎣ ⎦
Therefore the location error can be described as follows:
ε = tr ( PΔX ) . (32)

4 Computer simulation
We assume that the multi-station passive location system has three observation stations, whose
coordinates are (30 10 0.1), (30 20 0.2) and (−30 5 0.15) km respectively. The angle estimation
errors of each station are statistically independent and obey the normal distribution with the same
variance. Figure 2(a) and (b) shows the GDOP distribution for the constrained total least squares
algorithm when the variance is 1.5 mrad, the height is 5 and 15 km respectively. Figure 2(c) and
(d) shows the GDOP distribution for the constrained total least squares when the variance is 4.5
mrad, the height is 5 and 15 km respectively.
Table 1 shows the location errors in the same coordinate of Figure 2.

582 WANG Ding et al. Sci China Ser F-Inf Sci | Aug. 2007 | vol. 50 | no. 4 | 576-586
Table 1 The comparison of location error
Coordinate (km) Figure 2(a) Figure 2(b) Figure 2(c) Figure 2(d)
(5.0, 55) 0.169 0.160 0.540 0.491
(−25, 50) 0.290 0.265 0.935 0.816
(−70, −25) 0.410 0.371 1.440 1.140
(−75, 8.0) 0.652 0.581 2.120 1.790

Figure 2 The GDOP distribution. (a) The variance is 1.5 mrad, and the height is 5 km; (b) the variance is 1.5 mrad, and the
height is 15 km; (c) the variance is 4.5 mrad, and the height is 5 km; (d) the variance is 4.5 mrad, and the height is 15 km.

Figure 2 and Table 1 show that the location accuracy increases when the angle estimation vari-
ance decreases, and the location accuracy is higher for the high-altitude target than that of the
lower-altitude target. There is a long and narrow region near every station, in which the location
accuracy drops suddenly when the distance between target and station increases; in other regions
the location accuracy increases gradually when the distance between target and station increases
in the same height.
In order to show the location accuracy of the constrained total least squares algorithm, we use
the algorithm to track the uniform motion target in comparison with the least squares algorithm
and total least squares algorithm. We still assume that the multi-station passive location system
has three measurement stations, and their coordinates are also (30 10 0.1), (30 20 0.2) and (−30 5
0.15) km respectively. The initial coordinate of target is (58.5 27.7 5) km, velocity vector is (−150
−100 0) m/s, observation cycle is 2 s; the angle estimate variance is 3 mrad, if tracking the target

WANG Ding et al. Sci China Ser F-Inf Sci | Aug. 2007 | vol. 50 | no. 4 | 576-586 583
and performing 200 times of Monte-Carlo simulation. We assume that the coordinate estimation
at k time of the j th experiment is ( xk( j ) , yk( j ) , zk( j ) ), the real coordinate is ( xk* , yk* , zk* ), and the
definition of the distance relative error is as follows:
1 200 ( j )
( ) +(y ) + (z )
2 2 2
∑ x − xk*
200 j =1 k
( j)
k − yk* ( j)
k − zk*
δ rk = .
xk*2 + yk*2 + zk*2
Figure 3 shows the distance relative errors for the three algorithms.

Figure 3 The distance relative errors for three kinds of algorithm. 1, The constrained total least squares algorithm; 2, total
least squares algorithm; 3, least squares algorithm.

The figure shows that location accuracy will decrease when the target approaches the stations
and the performance of constrained total least squares algorithm is higher than the other two al-
gorithms, therefore the algorithm presented in the paper increases the location accuracy, this
method is effective.

5 Conclusion
In the electronic warfare, it is vital to locate and track emitters; however, it is more significant
when using the method of the passive location to locate the emitters. In the multi-station passive
location systems, the angle information is the basic measurement, many passive detectors (for
example infrared, sound navigation and so on) can only obtain the angle information, therefore it
bears practical significance to investigate the multi-station passive location algorithm based on
the bearing-only measurements. The constrained total least squares algorithm for the passive lo-
cation is presented based on the bearing-only measurements in this paper. The problem of the
passive location is transformed into that of the constrained total least squares, which is in turn
changed into the optimized problem without restraint, it is solved by the Newton algorithm, and
the analysis of the location accuracy is given at last. The simulation results prove that the location
accuracy increases when the angle estimation variance decreases and the location accuracy is
higher for the high-altitude target than that of lower-altitude target. There is a long and narrow
region near every station, in which the location accuracy drops suddenly when the distance be-

584 WANG Ding et al. Sci China Ser F-Inf Sci | Aug. 2007 | vol. 50 | no. 4 | 576-586
tween target and station increases; in other regions the location accuracy increases gradually
when the distance between target and station increases in the same height.
The paper does not discuss the interval of convergence and the scaled factor of the Newton al-
gorithm yet, but they are important to guarantee convergence and speed up convergence rate,
therefore it deserves a further investigation.

Appendix
Now we will derive the gradient vector and Hessian matrix for eq. (11).
T
⎡X ⎤ ⎡X ⎤
( )
−1
Define f ( X ) = ⎢ ⎥ C T H X G −1 H XT C ⎢ ⎥ , the length of X is L, aj is the j th compo-
⎣ −1⎦ ⎣ −1⎦
nents of X, then we have
∂f ( X ) ⎡X ⎤
( )
−1
= 2eiT C T H X G −1 H XT C⎢ ⎥
∂ai ⎣ −1⎦
T
⎡X ⎤ ⎡X ⎤
( ) ( )
−1 −1
− 2 ⎢ ⎥ C T H X G −1 H XT Fi G −1 H XT H X G −1 H XT C ⎢ ⎥,
⎣ −1⎦ ⎣ −1⎦
where ei is a vector with L+1 components, the ith component is 1, and the others are zero.
Therefore the gradient vector in Xn for f (X) is given by
T
⎡ ∂f ( X n ) ∂f ( X n ) ∂f ( X n ) ⎤
( ) = (U )
T T
T T T
Tn = ⎢ " ⎥ = 2 U CI L +1, L − U B1 H − U T B1 ,
⎣ ∂a1 ∂a2 ∂aL ⎦

⎡X ⎤
( )
−1
where U = H X G −1 H XT C ⎢ n ⎥ , B1 = [ H X G −1F1TU " H X G −1FLTU ], I L +1, L is a (L+1)×L
⎣ −1 ⎦
matrix, its diagonal element is 1, and the others are zero.
We can also obtain
∂2 f ( X )
=
∂ai ∂a j
⎡X ⎤
( ) (F G ) (H )
−1 −1 −1
−2eiTC T H X G −1 H XT j
−1
H XT + H X G −1F jT XG
−1
H XT C⎢ ⎥
⎣ −1⎦
⎡X ⎤
( ) ( ) ( )
−1 −1 −1
+ 2eiTC T H X G −1H XT Ce j − 2e Tj C T H X G −1 H XT FiG −1H XT H X G −1 H XT C⎢ ⎥
⎣ −1⎦
T
⎡X ⎤ ⎡X ⎤
( ) (F G ) (H ) ( )
−1 −1 −1 −1
+ 2 ⎢ ⎥ C T H X G −1H XT j
−1
H XT + H X G −1F jT XG
−1
H XT FiG −1 H XT H X G −1 H XT C⎢ ⎥
⎣ −1⎦ ⎣ −1⎦
T
⎡X ⎤ ⎡X ⎤
( ) ( )
−1 −1
− 2 ⎢ ⎥ C T H X G −1 H XT FiG −1F j H X G −1H XT C⎢ ⎥
⎣ −1⎦ ⎣ −1⎦
T
⎡X ⎤ ⎡X ⎤
( ) ( ) (F G ) (H )
−1 −1 −1 −1
+ 2 ⎢ ⎥ C T H X G −1H XT FiG −1 H XT H X G −1 H XT j
−1
H XT + H X G −1F jT XG
−1
H XT C⎢ ⎥
⎣ −1⎦ ⎣ −1⎦
T
⎡X ⎤
( ) ( )
−1 −1
− 2 ⎢ ⎥ C T H X G −1 H XT FiG −1 H XT H X G −1H XT Ce j .
⎣ −1⎦
Therefore the Hessian matrix in Xn for f (X) is determined by

WANG Ding et al. Sci China Ser F-Inf Sci | Aug. 2007 | vol. 50 | no. 4 | 576-586 585
 ⎡ ∂2 f ( X n ) ⎤
Hn = ⎢ ⎥
⎣⎢ ∂ai ∂a j ⎦⎥ L× L

( ) ( B1 + B2 ) + 2 I L, L +1C T ( H X G −1H XT ) ( )
−1 −1 −1
= −2 I L , L +1C T H X G −1 H XT CI L +1, L − 2 B2 H X G −1 H XT CI L +1, L

( ) ( ) ( B1 + B2 ) − 2 I L, L +1C T ( H X G −1H XT )
−1 −1 −1
+ 2 B2T H X G −1 H XT ( B1 + B2 ) − 2 B3TG −1B3 + 2 B1T H X G −1 H XT B1

) ( ) ( CI
−1
= 2 ( CI L +1, L − B1 − − B1 − B2 ) − 2 B3TG −1B3 ,
T
B2 H X G −1 H XT L +1, L

where B2 = [F1G −1 H XT U " FLG −1 H XT U ], B3 = [F1TU " FLTU ].

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