Title :
Two subspace algorithms for the identification of combined deterministic-stochastic systems
Author :
Van Overschee, Peter ; De Moor, Bart
Author_Institution :
Dept. of Electr. Eng., Katholieke Univ., Leuven, Belgium
Abstract :
Two new subspace algorithms for identifying mixed deterministic-stochastic systems are derived. Both algorithms determine state sequences through the projection of input and output data. These state sequences are shown to be outputs of nonsteady-state Kalman filter banks. From these it is easy to determine the state space system matrices. The algorithms are always convergent (noninterative) and numerically stable since they only make use of QR and singular value decompositions. The two algorithms are similar, but the second one trades off accuracy for simplicity. An example involving a glass oven is considered
Keywords :
Kalman filters; approximation theory; identification; matrix algebra; state-space methods; stochastic systems; Hankel matrices; combined deterministic-stochastic systems; convergent; glass oven; identification; mixed systems; nonsteady-state Kalman filter banks; numerically stable; singular value decompositions; state sequences; state space system matrices; subspace algorithms; Approximation algorithms; Glass; Iterative algorithms; Matrix decomposition; Observability; Ovens; Singular value decomposition; State-space methods; Stochastic processes; Stochastic systems; System identification; Vectors;
Conference_Titel :
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location :
Tucson, AZ
Print_ISBN :
0-7803-0872-7
DOI :
10.1109/CDC.1992.371682
