ARX modeling of unstable linear systems

DOI10.1016/J.AUTOMATICA.2016.09.041zbMATH Open1351.93160arXiv1603.04184OpenAlexW2520580048MaRDI QIDQ2374482FDOQ2374482

Authors: Miguel Galrinho, Niklas Everitt, Håkan Hjalmarsson 

Publication date: 15 December 2016

Published in: Automatica (Search for Journal in Brave)

Abstract: High-order ARX models can be used to approximate a quite general class of linear systems in a parametric model structure, and well-established methods can then be used to retrieve the true plant and noise models from the ARX polynomials. However, this commonly used approach is only valid when the plant is stable or if the unstable poles are shared with the true noise model. In this contribution, we generalize this approach to allow the unstable poles not to be shared, by introducing modifications to correctly retrieve the noise model and noise variance.

Full work available at URL: https://arxiv.org/abs/1603.04184

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zbMATH Keywords

system identificationclosed-loop identificationpolynomial models

Mathematics Subject Classification ID

Pole and zero placement problems (93B55) Linear systems in control theory (93C05) Identification in stochastic control theory (93E12) Stochastic analysis (60H99)

Cites Work

• Asymptotic properties of the least-squares method for estimating transfer functions and disturbance spectra
• Identification of unstable systems using output error and Box-Jenkins model structures
• Variance-error quantification for identified poles and zeros
• Model reductions of high-order estimated models: the asymptotic ML approach

Cited In (4)

• Identification of ARX and ARARX models in the presence of input and output noises
• Stability of dynamic models obtained by ARMAX lattice predictor
• Refined instrumental variable methods for unstable continuous-time systems in closed-loop
• Learning linear modules in a dynamic network using regularized kernel-based methods

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