• DocumentCode
    435215
  • Title

    Asymptotic variance of a certain closed-loop subspace identification method

  • Author

    Chiuso, Alessandro

  • Author_Institution
    Dept. of Inf. Eng., Padova Univ., Italy
  • Volume
    2
  • fYear
    2004
  • fDate
    17-17 Dec. 2004
  • Firstpage
    2201
  • Abstract
    In this paper we study the asymptotic properties of the "innovation estimation" algorithm by Qin and Ljung. We derive expressions for the asymptotic error and decompose it in a "bias" term plus a "variance" term. The asymptotic variance formulas are rather complicated in the general case. We report expression under a simplifying assumption.
  • Keywords
    closed loop systems; errors; parameter estimation; asymptotic error; asymptotic properties; asymptotic variance formula; bias term; closed-loop subspace identification method; innovation estimation algorithm; variance term; Algorithm design and analysis; Feedback loop; Recursive estimation; Signal processing; State estimation; Stochastic processes; Stochastic systems; Stress control; System identification; Technological innovation;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 2004. CDC. 43rd IEEE Conference on
  • Conference_Location
    Nassau
  • ISSN
    0191-2216
  • Print_ISBN
    0-7803-8682-5
  • Type

    conf

  • DOI
    10.1109/CDC.2004.1430375
  • Filename
    1430375
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=435215