Realization of stochastic systems with exogenous inputs and subspace identification methods

DOI10.1016/S0005-1098(99)00072-2MaRDI QIDQ1805974zbMATH OpenOpenAlexFDO

Authors Tohru Katayama, Giorgio Picci

Publication date 28 March 2000

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0005-1098(99)00072-2

zbMATH Keywords

canonical correlation analysissubspace identificationoblique projectionexogenous inputsstochastic realization

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Identification in stochastic control theory (93E12) Realizations from input-output data (93B15)

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(13)

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• Finding the response matrix to the external action from a subspace for a discrete linear stochastic dynamical system
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• An approach to closed-loop subspace identification by orthogonal decomposition
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