Improved closed-loop subspace identification with prior information

It has been proven that combining open-loop subspace identification with prior information can promote the accuracy of obtaining state-space models. In this study, prior information is exploited to improve the accuracy of closed-loop subspace identification. The proposed approach initially removes the correlation between future input and past innovation, a significant obstacle in closed-loop subspace identification method. Then, each row of the extended subspace matrix equation is considered an optimal multi-step ahead predictor and prior information is expressed in the form of equality constraints. The constrained least squares method is used to obtain improved results, so that the accuracy of the closed-loop subspace can be enhanced. Simulation examples are provided to demonstrate the effectiveness of the proposed algorithm.