Recursive Subspace Identification of Continuous-Time Systems Using Generalized Poisson Moment Functionals

A method for recursive subspace identification of continuous-time systems based on generalized Poisson moment functionals is proposed. Most of the existing subspace identification methods have concentrated mainly on the time-invariant discrete-time systems. The results of subspace identification methods are confined to the discrete-time cases, due to the difference on the construction of Hankel matrices. In addition, the time-invariant identification algorithms are not suitable for online identification cases. In order to solve the problems above, the time derivatives of Hankel matrices can be evaluated by generalized Poisson moment functionals, which provides a simple linear mapping for identification algorithm without the amplification of stochastic noises. The size of the data matrices is fixed a priori to fade the influence of old data to the updated data, which is a key to reduce computational burden and storage cost of recursive algorithms. The efficiency of the presented method is provided by comparing simulation results.