A Weighted Least Squares Method for Estimation of Unstable Systems

• Estimating unstable systems typically requires additional system identification techniques. In this paper, we consider the weighted null-space fitting method, a three step method that is asymptotically efficient for stable systems. This method first estimates a high order ARX model and then reduces it to a structured model with lower variance using weighted least squares. However, with unstable systems, the method cannot be used to simultaneously estimate the stable and unstable poles. To solve this, we observe that the unstable poles can be estimated from the high order ARX model with relative high accuracy, and use this as an estimate for the unstable poles of the model of interest. Then, the remaining parameters in this model can be estimated by weighted least squares. Because the complete set of parameters is not estimated jointly, asymptotic efficiency is lost. Nevertheless, a simulation study shows good performance.

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TEKNIK OCH TEKNOLOGIER  -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)

ENGINEERING AND TECHNOLOGY  -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)

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