Recursive computation for subspace identification methods

Yoshinori Takei, Jun Imai, Kiyoshi Wada

Research output: Contribution to journalArticle

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 2000
Externally publishedYes

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Identification (control systems)
Observability
Covariance matrix
MIMO systems

ASJC Scopus subject areas

  • Hardware and Architecture
  • Engineering (miscellaneous)
  • Electrical and Electronic Engineering

Cite this

Recursive computation for subspace identification methods. / Takei, Yoshinori; Imai, Jun; Wada, Kiyoshi.

In: Research Reports on Information Science and Electrical Engineering of Kyushu University, Vol. 5, No. 1, 03.2000, p. 19-24.

Research output: Contribution to journalArticle

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