Indirect closed-loop identification by optimal instrumental variable method

DOI10.1016/S0005-1098(97)00152-0MaRDI QIDQ1388125zbMATH OpenOpenAlexFDO

Authors D. Massart, Ying Zhang, Changyun Wen, Yeng Chai Soh

Publication date 8 June 1998

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0005-1098(97)00152-0

zbMATH Keywords

bias-compensating least-squares methodclosed-loop identificationinstrumental variable methodorder of the controllerparameter estimationsystem identification

Mathematics Subject Classification ID

System identification (93B30)

Review text

In system identification, the instrumental variable (IV) method provides a promising way to achieve consistent parameter estimation for systems corrupted by colored noises. The advantage of the IV method is that its estimation results do not depend on the accuracy of the noise models. Recently, a new bias-compensating least-squares (BCLS) method was proposed for the identification of a closed-loop system with high-order controller. This paper studies the connection between the BCLS method and the instrumental variable (IV) family. It is shown that the BCLS method is a kind of weighted instrumental variable (WIV) method whose results do not depend upon the order of the controller. It is also shown that the restriction on the order of the controller used in the BCLS method can be relaxed in the presented optimal IV method.

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Cites work

• A bias-correction method for indirect identification of closed-loop systems
• Consistent parameter estimation of systems disturbed by correlated noise
• Instrumental variable methods for system identification
• On covariance function tests used in system identification
• Study of a bias-free least squares parameter estimator

Cited in

(7)

• Instrumental variable methods for closed-loop system identification
• Instrumental variable scheme for closed-loop LPV model identification
• Realizations of BELS as WIV method in both direct and indirect closed-loop system identification
• An alternative motivation for the indirect approach to closed-loop identification
• Closed-loop system identification with modifications of the instrumental variable method
• On the relation between a bias-eliminated least-squares (BELS) and an IV estimator in closed-loop identification
• Simultaneous identification of bi-directional paths in closed-loop systems with coloured noise

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