Subspace-based identification of stochastic systems using innovation model

被引：0

作者：

Ohsumi, A ^{[1
]}

Takashima, S ^{[1
]}

Kameyama, K ^{[1
]}

机构：

[1] Kyoto Inst Technol, Dept Mech & Syst Engn, Control & Syst Sci Grp, Kyoto 606, Japan

来源：

(SYSID'97): SYSTEM IDENTIFICATION, VOLS 1-3 | 1998年

关键词：

system identification; stochastic systems; innovation model; state space methods;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper a 4SID algorithm is proposed to identify a class of linear stochastic systems from the noisy input-output data sequence. First, the standard linear stochastic models are replaced equivalently by the innovations representation of Kalman filter equation. Then, by introducing a quasi-stationarity assumption for the error covariance matrix associated with the Kalman filter, our 4SID algorithm is derived. Finally, by simulation studies the effectiveness of our algorithm is shown.

引用

页码：1063 / 1068

页数：6

共 9 条

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