On a stochastic subspace identification algorithm via a block LQ decomposition

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Author(s)

    • Tanaka Hideyuki
    • Department of Applied Mathematics and Physics Graduate School of Informatics, Kyoto University
    • Katayama Tohru
    • Department of Applied Mathematics and Physics Graduate School of Informatics, Kyoto University

Abstract

A stochastic subspace identification method has been developed based on a "block LQ decomposition" [1] with the help of stochastic realization theories. The algorithm, however, does not guarantee that an estimate of the forward innovation representation is stable and of minimum phase. In order to overcome this difficulty, this paper discusses a method of estimating the spectral density function of the output process, and present a prototype of a subspace identification algorithm guaranteeing minimum phase via a spectral factorization technique.

Journal

  • Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications

    Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications 2005(0), 64-71, 2005

    The ISCIE Symposium on Stochastic Systems Theory and Its Applications

Codes

  • NII Article ID (NAID)
    130007377072
  • Text Lang
    ENG
  • ISSN
    2188-4730
  • Data Source
    J-STAGE 
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