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Performance of Subspace-Based System Identification Methods
Department of Applied Electronics, Chalmers University of Technology, Gothenburg, Sweden.
KTH, Superseded Departments, Signals, Sensors and Systems.ORCID iD: 0000-0003-2298-6774
KTH, School of Electrical Engineering (EES).ORCID iD: 0000-0002-1927-1690
Dep. of Electrical Engineering SE-581 83, Linköpings Universitet Sweden.
1993 (English)In: Proc. IFAC 93, 1993Conference paper, Published paper (Refereed)
Abstract [en]

Traditional prediction-error techniques for multivariable system identification require canonical descriptions using a large number of parameters. This problem can be avoided using subspace based methods, since these estimate a state-space model directly from the data. The main computations consist of a QR-decomposition and a singular-value decomposition. Herein, a subspace based technique for identifying general finite-dimensional linear systems is presented and analyzed. The technique applies to general noise covariance structures. Explicit formulas for the asymptotic pole estimation error variances are given. The proposed method is found to perform comparable to a prediction error method in a simple example. 

Place, publisher, year, edition, pages
1993.
Keyword [en]
Linear systems, system identification, instrumental variable methods
National Category
Telecommunications
Identifiers
URN: urn:nbn:se:kth:diva-92591OAI: oai:DiVA.org:kth-92591DiVA: diva2:513864
Conference
IFAC 93, Sydney, Australia.
Note
NR 20140805Available from: 2012-04-03 Created: 2012-04-03 Last updated: 2013-09-05Bibliographically approved

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Ottersten, BjörnWahlberg, Bo

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