A stochastic realization algorithm via block LQ decomposition in Hilbert space

DOI10.1016/J.AUTOMATICA.2005.12.025MaRDI QIDQ875969zbMATH OpenOpenAlexFDO

Authors Hideyuki Tanaka, Tohru Katayama

Publication date 16 April 2007

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2005.12.025

zbMATH Keywords

canonical correlation analysisHilbert spaceinnovation representationLQ decompositionstochastic realizationsubspace identification

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) System identification (93B30) Stochastic systems in control theory (general) (93E03)

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Cites work

• A realization approach to stochastic model reduction
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• Markovian Representation of Stochastic Processes by Canonical Variables
• Realization of stochastic systems with exogenous inputs and subspace identification methods
• Stochastic theory of minimal realization
• Subspace algorithms for the stochastic identification problem
• Subspace methods for system identification.

Cited in

(7)

• Generalized least squares innovation representation
• Orthogonal stability of functional equations with the fixed point alternative
• Minimum phase properties of finite-interval stochastic realization
• A New Procedure for Stochastic Realization of Spectral Density Matrices
• scientific article; zbMATH DE number 2048372 (Why is no real title available?)
• A note on LQ decomposition in stochastic subspace identification
• Identification and data-driven model reduction of state-space representations of lossless and dissipative systems from noise-free data

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