Variance reduction in covariance based realization algorithm with application to closed-loop data

DOI10.1016/J.AUTOMATICA.2019.108683MaRDI QIDQ2173903zbMATH OpenOpenAlexWikidataFDO

Authors Yangsheng Hu, Yunfeng Jiang, R. A. de Callafon

Publication date 17 April 2020

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2019.108683

zbMATH Keywords

closed-loop identificationcovariance functioninstrumental variableoptimal weighting matricessubspace methodstwo stage technique

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) System identification (93B30) Multivariable systems, multidimensional control systems (93C35)

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Cites work

• A bias-correction method for closed-loop identification of linear parameter-varying systems
• Analysis of state space system identification methods based on instrumental variables and subspace fitting
• Block-oriented nonlinear system identification
• Computing a nearest symmetric positive semidefinite matrix
• scientific article; zbMATH DE number 1342053 (Why is no real title available?)
• Identification of the deterministic part of MIMO state space models given in innovations form from input-output data
• Optimal instrumental variable estimation and approximate implementations
• Optimal instrumental-variable methods for identification of multivariable linear systems
• Q-Markov covariance equivalent realization and its application to flexible structure identification
• Refined instrumental variable estimation: maximum likelihood optimization of a unified Box-Jenkins model
• Subspace methods for system identification.
• Subspace-based identification: Weighting and pre-filtering of instruments
• Time Domain State Space Identification of Structural Systems

Cited in

(3)

• Closed-loop delta-operator-based subspace identification for continuous-time systems utilising the parity space
• Noniterative tensor network‐based algorithm for Volterra system identification
• Variance-reduced reshuffling gradient descent for nonconvex optimization: centralized and distributed algorithms

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