Recursive Computation for Subspace Identification Methods

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  • Takei Yoshinori
    Department of Electrical and Electronic Systems Engineering, Kyushu University : Graduate Student
  • 今井 純
    九州大学大学院システム情報科学研究科電気電子システム工学専攻
  • 和田 清
    九州大学大学院システム情報科学研究科電気電子システム工学専攻

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In this paper, we present a recursive computation for Subspace-based State Space System IDentification (4SID) methods. We develope another interpretation of the method by using Schur complement, and propose a recursive formula for the error covariance matrix in the 4SID procedure. In the ordinary MIMO Output-Error State space model identification (MOESP) algorithm, we show the estimate of the extended observability matrix is obtained by Schur complement of input-output data matrix. For the noisy case interpretation of the 4SID procedure is also presented. Finally, we illustrate a numerical example for the proposed algorithm.

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