A method for identification of combined deterministic stochastic systems

MaRDI QIDQ4381643zbMATH OpenFDO

Authors David Di Ruscio

Publication date 19 October 1998

zbMATH Keywords

state-space methodsstochastic and deterministic systemssubspace methodssystem identificationtime series analysis

Mathematics Subject Classification ID

System identification (93B30) Identification in stochastic control theory (93E12)

Review text

Conclusions from the author: ``A method for subspace identification and realization of state space models on innovations form directly from given input and output data is presented. The method determines both the deterministic part and the stochastic part of the model. The algorithm gives exact results in the deterministic case and consistent results when the system is influenced by noise. The stochastic part of the model is computed from standard linear algebra decomposition methods and no matrix equations (e.g. Riccati or Lyapunov equations) need to be solved. Monte Carlo simulations are used to analyze the statistical properties of the algorithms as well as to compare them with existing algorithms. It is useful to compare this work with the results achieved by van Overschee, de Moor and Verhagen. For the entire collection see [Zbl 0855.00030].

Recommendations

• Combined Deterministic and Stochastic System Identification and Realization: DSR - A Subspace Approach Based on Observations
• 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems
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Cited in

(11)

• 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems
• Identification of both closed- and open-loop stochastic system while stabilizing it.
• Choice of state-space basis in combined deterministic-stochastic subspace identification
• Some algorithmic aspects of subspace identification with inputs
• A parametric estimation method for dynamic factor models of large dimensions
• Subspace identification for a stochastic model of plague
• Identification of stable models in subspace identification by using regularization
• Combined Deterministic and Stochastic System Identification and Realization: DSR - A Subspace Approach Based on Observations
• A note on LQ decomposition in stochastic subspace identification
• Subspace identification by data orthogonalization and model decoupling
• Asymptotic variance of subspace methods by data orthogonalization and model decoupling: a comparative analysis

Describes a project that uses

Uses Software

• System Identification Toolbox

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