Recursive Computation for Subspace Identification Methods

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  • Takei Yoshinori
    Department of Electrical and Electronic Systems Engineering, Kyushu University : Graduate Student
  • Imai Jun
    Department of Electrical and Electronic Systems Engineering, Kyushu University
  • Wada Kiyoshi
    Department of Electrical and Electronic Systems Engineering, Kyushu University

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Abstract

In this paper, we present a recursive computation for Subspace-based State Space System IDentification (4SID) methods. We develope another interpretation of the method by using Schur complement, and propose a recursive formula for the error covariance matrix in the 4SID procedure. In the ordinary MIMO Output-Error State space model identification (MOESP) algorithm, we show the estimate of the extended observability matrix is obtained by Schur complement of input-output data matrix. For the noisy case interpretation of the 4SID procedure is also presented. Finally, we illustrate a numerical example for the proposed algorithm.

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