Stochastic Theory of Continuous-Time State-Space Identification

Johansson, RolfLund University,Lunds universitet,Institutionen för reglerteknik,Institutioner vid LTH,Lunds Tekniska Högskola,Department of Automatic Control,Departments at LTH,Faculty of Engineering, LTH (författare)

This paper presents theory, algorithms, and validation results for system identification of continuous-time state-space models from finite input-output sequences. The algorithms developed are methods of subspace model identification and stochastic realization adapted to the continuous-time context. The resulting model can be decomposed into an input-output model and a stochastic innovations model. Using the Riccati equation, we have designed a procedure to provide a reduced-order stochastic model that is minimal with respect to system order as well as the number of stochastic inputs, thereby avoiding several problems appearing in standard application of stochastic realization to the model validation problem.

Ingår i:IEEE Transactions on Signal Processing: Institute of Electrical and Electronics Engineers (IEEE)47:1, s. 41-511053-587X

Av författaren/redakt...: Johansson, Rolf; Verhaegen, Miche ...; Chou, C. T.

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