A geometric approach to variance analysis in system identification: Linear time-invariant systems

被引：0

作者：

Martensson, Jonas ^{[1
]}

Hjalmarsson, Hakan ^{[1
]}

机构：

[1] Royal Inst Technol, KTH, ACCESS Linnaeus Ctr, Stockholm, Sweden

来源：

PROCEEDINGS OF THE 46TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-14 | 2007年

关键词：

identification for control; accuracy of identification; asymptotic variance expressions;

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：

This paper addresses the problem of quantifying the model error ("variance-error") in estimates of linear time invariant systems. Building on the results in [1], we present an explicit method to construct an expression for the asymptotic variance of system properties such as impulse response coefficients, system gain, or the performance of some (control) application where the identified model is used. The expression is such that the individual impacts of model structure, model order and experimental conditions become visible. The technique is used to derive asymptotic variance expressions for a number of system properties.

引用

页码：3538 / 3543

页数：6

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