A stochastic realization algorithm via block LQ decomposition in Hilbert space

DOI10.1016/j.automatica.2005.12.025zbMath1137.93410OpenAlexW2020667344MaRDI QIDQ875969

Tohru Katayama, Hideyuki Tanaka

Publication date: 16 April 2007

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2005.12.025

zbMATH Keywords

subspace identificationHilbert spacecanonical correlation analysisLQ decompositioninnovation representationstochastic realization

Mathematics Subject Classification ID

Related Items (3)

Orthogonal stability of functional equations with the fixed point alternative ⋮ Identification and data-driven model reduction of state-space representations of lossless and dissipative systems from noise-free data ⋮ Minimum phase properties of finite-interval stochastic realization

Cites Work

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• Subspace algorithms for the stochastic identification problem
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• Canonical correlation analysis, approximate covariance extension, and identification of stationary time series
• A transformation approach to stochastic model reduction
• Balanced Approximation of Stochastic Systems
• A realization approach to stochastic model reduction
• Stochastic theory of minimal realization
• Markovian Representation of Stochastic Processes by Canonical Variables

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