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On Consistency of Subspace Methods for System Identification
KTH, Superseded Departments, Signals, Sensors and Systems.ORCID iD: 0000-0002-6855-5868
KTH, School of Electrical Engineering (EES), Automatic Control.ORCID iD: 0000-0002-1927-1690
1998 (English)In: Automatica, ISSN 00051098, Vol. 34, no 12, 1507-1519 p.Article in journal (Refereed) Published
Abstract [en]

Subspace methods for identification of linear time-invariant dynamical systems typically consist of two main steps: a so-called subspace estimate, and an estimate of system parameters based on the subspace estimate. In this paper, the consistency of a large class of methods for estimating the extended observability matrix is analyzed. Persistence of excitation conditions on the input signal are given which guarantee consistent estimates for systems with only measurement noise. For systems with process noise, it is shown that a persistence of excitation condition on the input is not sufficient. More precisely, an example for which the subspace methods fail to give a consistent estimate of the transfer function is given. This failure occurs even if the input is persistently exciting of any order. It is also shown that this problem can be eliminated if stronger conditions on the input signal are imposed.

Place, publisher, year, edition, pages
Elsevier, 1998. Vol. 34, no 12, 1507-1519 p.
Keyword [en]
onsistency; subspace methods; identification; performance analysis; linear systems
National Category
Signal Processing
URN: urn:nbn:se:kth:diva-82248DOI: 10.1016/S0005-1098(98)80004-6OAI: diva2:498050
NR 20140805Available from: 2012-02-11 Created: 2012-02-11 Last updated: 2013-09-05Bibliographically approved

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