On the solution of the covariance matrix differential equation for singular systems.
Masoud ShafieeMohsen RazzaghiPublished in: Int. J. Comput. Math. (1998)
Keyphrases
- covariance matrix
- differential equations
- boundary value problem
- covariance matrices
- numerical methods
- nonlinear differential equations
- sample size
- optimal solution
- principal component analysis
- gaussian mixture
- numerical solution
- initial conditions
- continuous functions
- least squares
- numerical integration
- geometrical interpretation
- partial differential equations
- dynamical systems
- linear programming
- multivariate gaussian
- objective function