A decomposition method for positive semidefinite matrices and its application to recursive parameter estimation

A matrix decomposition method for positive semidefinite matrices based on a given subspace is proposed in this paper. It is shown that any positive se midefinite matrix can be decomposed uniquely into two positive semidefinite parts with specified rank one of which is orthogonal to the subspace. This method is then compared with the rank-additivity decomposition, and the di fference as well as the close connection between these two decompositions a re given. Finally, the proposed decomposition method is used to develop a n ew recursive parameter estimation algorithm for linear systems.