A geometric approach to variance analysis in system identification: Linear Time-Invariant Systems
2007 (English)In: PROCEEDINGS OF THE 46TH IEEE CONFERENCE ON DECISION AND CONTROL, 2007, no ThC11.5, 4269-4274 p.Conference paper (Refereed)
This paper addresses the problem of quantifying the model error ("variance-error") in estimates of linear time invariant systems. Building on the results in H. Hjalmarsson and J. Martensson (2007), we present an explicit method to construct an expression for the asymptotic variance of system properties such as impulse response coefficients, system gain, or the performance of some (control) application where the identified model is used. The expression is such that the individual impacts of model structure, model order and experimental conditions become visible. The technique is used to derive asymptotic variance expressions for a number of system properties.
Place, publisher, year, edition, pages
2007. no ThC11.5, 4269-4274 p.
, IEEE conference on decision and control - proceedings, ISSN 0191-2216
identification for control; accuracy of identification; asymptotic variance expressions; CLOSED-LOOP IDENTIFICATION; FREQUENCY FUNCTIONS; EXPRESSIONS; ERROR; QUANTIFICATION
Research subject SRA - ICT
IdentifiersURN: urn:nbn:se:kth:diva-7541DOI: 10.1109/CDC.2007.4434586ISI: 000255181701280ScopusID: 2-s2.0-62749150993OAI: oai:DiVA.org:kth-7541DiVA: diva2:12597
PROCEEDINGS OF THE 46TH IEEE CONFERENCE ON DECISION AND CONTROL, New Orleans, DEC 12-14, 2007
QC 201606012007-10-152007-10-152016-06-01Bibliographically approved