P. Vanoverschee et B. Demoor, N4SID - SUBSPACE ALGORITHMS FOR THE IDENTIFICATION OF COMBINED DETERMINISTIC STOCHASTIC-SYSTEMS, Automatica, 30(1), 1994, pp. 75-93
Citations number
20
Categorie Soggetti
Controlo Theory & Cybernetics","Robotics & Automatic Control
Recently a great deal of attention has been given to numerical algorit
hms for subspace state space system identification (N4SID). In this pa
per, we derive two new N4SID algorithms to identify mixed deterministi
c-stochastic systems. Both algorithms determine state sequences throug
h the projection of input and output data. These state sequences are s
hown to be outputs of non-steady state Kalman filter banks. From these
it is easy to determine the state space system matrices. The N4SID al
gorithms are always convergent (non-iterative) and numerically stable
since they only make use of QR and Singular Value Decompositions. Both
N4SID algorithms are similar, but the second one trades off accuracy
for simplicity. These new algorithms are compared with existing subspa
ce algorithms in theory and in practice.