A stochastic realization algorithm via block LQ decomposition in Hilbert space

DOI10.1016/j.automatica.2005.12.025zbMath1137.93410MaRDI 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 identification; Hilbert space; canonical correlation analysis; LQ decomposition; innovation representation; stochastic realization

Mathematics Subject Classification ID

60J05: Discrete-time Markov processes on general state spaces

93B30: System identification

93E03: Stochastic systems in control theory (general)

Related Items

Minimum phase properties of finite-interval stochastic realization

Cites Work

• Subspace algorithms for the stochastic identification problem
• Realization of stochastic systems with exogenous inputs and subspace identification methods
• 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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