Partial Realization Theory and System Identification Redux
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Publication:6287963
arXiv1706.05495MaRDI QIDQ6287963FDOQ6287963
Authors: Anders Lindquist 
Publication date: 17 June 2017
Abstract: Some twenty years ago we introduced a nonstandard matrix Riccati equation to solve the partial stochastic realization problem. In this paper we provide a new derivation of this equation in the context of system identification. This allows us to show that the nonstandard matrix Riccati equation is universal in the sense that it can be used to solve more general analytic interpolation problems by only changing certain parameters. Such interpolation problems are ubiquitous in systems and control. In this context we also discuss a question posed by R.E. Kalman in beginning of the 1970s.
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