blkhank.m

A Matlab toolbox for exact linear time-invariant system identification is presented. The emphasis is

% BLKHANK - Construct a block-Hankel matrix.
%
% H = blkhank(w,i,j)
%
% W - structure parameters W(:,:,i), i = 1,...,T
%     if W(:,:,i) are Qx1 vectors, W can be a TxNW matrix
% I - number of block rows
% J - optional number of block columns
%     default: J = T - I + 1 (the maximum)
% H - block-Hankel matrix parameterized by W

function H = blkhank(w,i,j)

if length(size(w)) == 3 % PxM matrix blocks 
  [p,m,T]  = size(w);
  if nargin < 3 | isempty(j)
    j = T - i  + 1;
  end
  if j <= 0 
    error('Not enough data.')
  end
  H = zeros(i*p,j*m);
  for ii = 1:i
    for jj = 1:j
      H((ii-1)*p+1:ii*p,(jj-1)*m+1:jj*m) = ...
          w(:,:,ii+jj-1);
    end
  end
else % DWx1 vector block
  [T,dw]  = size(w);
  if nargin < 3 | isempty(j)
    j = T - i  + 1;
  end
  if j <= 0 
    error('Not enough data.')
  end
  H=zeros(i*dw,j);
  w = w';
  for ii = 1:i
    H((ii-1)*dw+1:ii*dw,:) = w(:,ii:ii+j-1);
  end
end