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Residual Models and Stochastic Realization in State-Space System Identification

In English

Författare

Summary, in English

This paper presents theory and algorithms for validation in system identification of state-space models from finite input-output sequences in a subspace model identification framework. Similar to the case of prediction-error identification, it is shown that the resulting model can be decomposed into an input-output model and a stochastic innovations model. Using the Riccati equation, we have designed a procedure to provide a reduced-order stochastic model that is minimal with respect to system order as well as the number of stochastic inputs thereby avoiding several problems appearing in standard application of stochastic realization to the model validation problem.

Publiceringsår

1998

Språk

Engelska

Publikation/Tidskrift/Serie

Proceedings of the 37th IEEE Conference on Decision and Control

Dokumenttyp

Konferensbidrag

Förlag

IEEE - Institute of Electrical and Electronics Engineers Inc.

Ämne

  • Control Engineering

Nyckelord

  • residual models
  • stochastic realization
  • state-space system identification
  • finite input-output sequences
  • I/O sequences
  • subspace model identification
  • model decomposition
  • stochastic innovations model
  • Riccati equation
  • reduced-order stochastic

Conference name

37th Conference on Decision and Control, 1998

Conference date

1998-12-18 - 1998-12-18

Conference place

Tampa, Florida, United States

Status

Published