Subspace identification by data orthogonalization and model decoupling

DOI10.1016/J.AUTOMATICA.2004.05.008MaRDI QIDQ705467zbMATH OpenOpenAlexFDO

Authors Alessandro Chiuso, Giorgio Picci

Publication date 31 January 2005

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2004.05.008

zbMATH Keywords

Exogenous inputsStatistical analysisStochastic realizationStochastic state-space identificationSubspace identification

Mathematics Subject Classification ID

Canonical structure (93B10) Realizations from input-output data (93B15) Identification in stochastic control theory (93E12)

Review text

This paper, like its companion papers [\textit{A. Chiuso} and \textit{G. Picci}, ``On the ill-conditioning of subspace identification with inputs, Automatica 40, No. 4, 575--589 (2004; Zbl 1168.93330) and ``Numerical conditioning and asymptotic variance of subspace estimates, ibid. 40, No. 4, 677--683 (2004; Zbl 1168.93411)], deals with ill-conditioning of subspace identification methods of input-output data. It demonstrates that the use of a preliminary orthogonal decomposition of the data, together with appropriate subspace algorithms adapted to this decomposition may, in certain circumstances, lead to more robust and accurate estimates. According to the authors, the possible loss of accuracy in the presence of ill-conditioning is not due to the use of subspace methods. Except for the introduction, this paper consists of the following parts: 2. State-space models for subspace identification. The authors introduce a canonical form with a so-called deterministic and a stochastic subsystem and make the standing assumption that these subsystems do not have common dynamics. In this case they call the overall model decoupled. According to the authors, their main concern is to compare the performance of subspace algorithms applied to the identification of a joint model (that is in this case overparametrized). 3. Identification from data on a finite interval. In this part the authors use a weighted version of the PI-MOESP method of \textit{M. Verhaegen} and \textit{P. Dewilde} [Int. J. Control 56, No. 5, 1187--1210 (1992; Zbl 0772.93020)] for the identification of the deterministic subsystem. 4. Probing inputs for identification. In this section the authors investigate a class of inputs which leads to the largest state-input correlation coefficients and hence enhance the possible ill-conditioning of the identification problem. 5. Some experimental results. 6. Conclusions. The paper ends with an appendix and the list of references. This clearly structured and well-written paper is an important contribution to the large literature about (subspace) identification.

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Cites work

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• scientific article; zbMATH DE number 1090982 (Why is no real title available?)
• Markovian Representation of Stochastic Processes by Canonical Variables
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• Subspace model identification Part 3. Analysis of the ordinary output-error state-space model identification algorithm
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Cited in

(15)

• Experimental evidence showing that stochastic subspace identification methods may fail
• On the ill-conditioning of subspace identification with inputs
• Numerical conditioning and asymptotic variance of subspace estimates
• Combined state and parameter estimation for a bilinear state space system with moving average noise
• Asymptotic properties of subspace estimators
• An approach to closed-loop subspace identification by orthogonal decomposition
• Linear approximation and identification of MIMO Wiener-Hammerstein systems
• scientific article; zbMATH DE number 6500907 (Why is no real title available?)
• A note on mode decoupling of linear time-invariant systems using the generalized sign matrix
• System identification methods for (operational) modal analysis: review and comparison
• Detectability conditions for output-only subspace identification
• On the Relation Between CCA and Predictor-Based Subspace Identification
• Criteria for informative experiments with subspace identification
• Role of LQ decomposition in subspace identification methods
• Asymptotic variance of subspace methods by data orthogonalization and model decoupling: a comparative analysis

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