Choice of state-space basis in combined deterministic-stochastic subspace identification

DOI10.1016/0005-1098(95)00071-9MaRDI QIDQ1911280zbMATH OpenOpenAlexWikidataFDO

Authors Peter Van Overschee, B. De Moor

Publication date 22 September 1996

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0005-1098(95)00071-9

zbMATH Keywords

identificationlinearmodel reductionstochastic systemsweighting

Mathematics Subject Classification ID

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

Review text

The paper gives a general presentation of the identification problem of linear and stochastic systems. It is shown that various algorithms differ in a weighting only. The main theorem introduces specific choices for the weighting matrices, such that the system is identified in a predefined state space basis. A space-state interpretation of frequency-weighted model reduction (Enns, 1984) is given, too.

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Cites work

• 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems
• A subspace algorithm for balanced state space system identification
• A unifying theorem for three subspace system identification algorithms
• An error bound for a discrete reduced order model of a linear multivariable system
• Identification of the deterministic part of MIMO state space models given in innovations form from input-output data
• Principal component analysis in linear systems: Controllability, observability, and model reduction

Cited in

(7)

• The asymptotic variance of subspace estimates.
• State-space LPV model identification using kernelized machine learning
• A unifying theorem for three subspace system identification algorithms
• Analysis of state space system identification methods based on instrumental variables and subspace fitting
• Identification of composite local linear state-space models using a projected gradient search
• Subspace-based identification: Weighting and pre-filtering of instruments
• Identification and data-driven model reduction of state-space representations of lossless and dissipative systems from noise-free data

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