Identification of low rank vector processes

DOI10.1016/J.AUTOMATICA.2023.110938MaRDI QIDQ6164044zbMATH OpenFDO

Authors Wenqi Cao, Giorgio Picci, Anders Lindquist

Publication date 30 June 2023

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2111.10899

zbMATH Keywords

multivariable system identificationfeedback representationlow-rank process identificationrank-reduced output noise

Mathematics Subject Classification ID

System identification (93B30) Feedback control (93B52)

Abstract: We study modeling and identification of stationary processes with a spectral density matrix of low rank. Equivalently, we consider processes having an innovation of reduced dimension for which Prediction Error Methods (PEM) algorithms are not directly applicable. We show that these processes admit a special feedback structure with a deterministic feedback channel which can be used to split the identification in two steps, one of which can be based on standard algorithms while the other is based on a deterministic least squares fit. Identifiability of the feedback system is analyzed and a unique identifiable structure is characterized. Simulations show that the proposed procedure works well in some simple examples.

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Cited in

(3)

• Spectral Factorization of Rank-Deficient Rational Densities
• Independent Vector Analysis: Identification Conditions and Performance Bounds
• Dealing with collinearity in large-scale linear system identification using Gaussian regression

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