Recursive 4SID algorithms using gradient type subspace tracking

DOI10.1016/S0005-1098(01)00286-2MaRDI QIDQ1614337zbMATH OpenFDO

Authors Hiroshi Oku, Hidenori Kimura

Publication date 5 September 2002

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0005-1098(01)00286-2

zbMATH Keywords

4S-IDadaptive filtersconvergence propertyextended observability matrixgradient subspace tracking methodidentification algorithmsmatrix inversionrecursive subspace state-space system identification

Mathematics Subject Classification ID

Numerical methods based on necessary conditions (49M05) Geometric methods (93B27) System identification (93B30)

Review text

The paper is devoted to system identification algorithms in the case where the order of a MIMO system to be identified is a priori known. The main novelty introduced by the authors is that, although they apply the same minimization problem for the recursive subspace state-space system identification (SSSS-ID, further abbreviated as 4S-ID), the search for the global minimizer is performed with the gradient type subspace tracking method used in array signal processing. The proposed 4S-ID algorithms can directly estimate the subspace spanned by the column vectors of the extended observability matrix of the system to be identified without performing the singular value decomposition. Furthermore, the authors obtain a proof of the local convergence property for the gradient type subspace tracking technique under the assumption that the step size belongs to the interval \((0,1)\). A numerical example illustrates the advantage of the proposed 4S-ID algorithm, showing the 4S-ID algorithm to be more robust with respect to the choice of the initial values than the corresponding PAST (projection approximation subspace tracking) algorithm of T. Gustafsson (1997, 1998).

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Cites work

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• The matrix minimum principle

Cited in

(9)

• Recursive subspace identification of AUV dynamic model under general noise assumption
• Hierarchical gradient-based identification of multivariable discrete-time systems
• A new method for fault prediction of model-unknown nonlinear system
• Convergence analysis of instrumental variable recursive subspace identification algorithms
• Robust data driven H_ control for wind turbine
• Recursive subspace identification based on principal component analysis
• Recursive subspace identification based on instrumental variable unconstrained quadratic optimization
• On-line structured subspace identification with application to switched linear systems
• Recursive subspace identification of continuous-time systems using generalized Poisson moment functionals

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