Necessary and sufficient conditions for robust identification of uncertain LTI systems

Robust identification of uncertain systems arises whenever a chosen family of models does not completely describe reality. In these situations the issue of unmodeled dynamics gains significance in addition to random measurement noise. To deal with such mixed stochastic/deterministic settings we introduce a novel notion for robust consistency, which requires that the expectation (with respect to noise) of the worst-case (with respect to unmodeled dynamics) identification error asymptotically approach zero. It turns out that this notion leads to transparent necessary and sufficient conditions. We show that robust consistency holds, if and only if there is an instrument-input-pair capable of annihilating the residual error as well as stochastic noise. An extension of this result to the well-known "bounded but unknown" noise model shows that if we were to remove a set of Lebesgue measure zero, the error bound asymptotically approaches zero. (C) 2004 Elsevier B.V. All rights reserved.