Identification of linear systems with multiplicative noise from multiple trajectory data

DOI10.1016/J.AUTOMATICA.2022.110486zbMATH Open1498.93759arXiv2106.16078OpenAlexW3177309855WikidataQ114204747 ScholiaQ114204747MaRDI QIDQ2165992FDOQ2165992

Karl Henrik Johansson, Yu Xing, Benjamin Gravell, Tyler H. Summers, Xingkang He

Publication date: 23 August 2022

Published in: Automatica (Search for Journal in Brave)

Abstract: The paper studies identification of linear systems with multiplicative noise from multiple-trajectory data. An algorithm based on the least-squares method and multiple-trajectory data is proposed for joint estimation of the nominal system matrices and the covariance matrix of the multiplicative noise. The algorithm does not need prior knowledge of the noise or stability of the system, but requires only independent inputs with pre-designed first and second moments and relatively small trajectory length. The study of identifiability of the noise covariance matrix shows that there exists an equivalent class of matrices that generate the same second-moment dynamic of system states. It is demonstrated how to obtain the equivalent class based on estimates of the noise covariance. Asymptotic consistency of the algorithm is verified under sufficiently exciting inputs and system controllability conditions. Non-asymptotic performance of the algorithm is also analyzed under the assumption that the system is bounded. The analysis provides high-probability bounds vanishing as the number of trajectories grows to infinity. The results are illustrated by numerical simulations.

Full work available at URL: https://arxiv.org/abs/2106.16078

zbMATH Keywords

multiplicative noiselinear system identificationnon-asymptotic analysismultiple trajectories

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Identification in stochastic control theory (93E12)

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