Recursive computation for subspace identification methods

Yoshinori Takei, Jun Imai, Kiyoshi Wada

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper, we present a recursive computation for Subspace-based State Space System IDentification (4SID) methods. We develop another interpretation of the method by using Schur complement, and propose a recursive formula for the error covariance matrix in the 4SID procedure. In the ordinary MIMO Output-Error State space model identification (MOESP) algorithm, we show the estimate of the extended observability matrix is obtained by Schur complement of input-output data matrix. For the noisy case interpretation of the 4SID procedure is also presented. Finally, we illustrate a numerical example for the proposed algorithm.

Original languageEnglish
Pages (from-to)19-24
Number of pages6
JournalResearch Reports on Information Science and Electrical Engineering of Kyushu University
Volume5
Issue number1
Publication statusPublished - Mar 1 2000
Externally publishedYes

ASJC Scopus subject areas

  • Computer Science(all)
  • Electrical and Electronic Engineering

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