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Some Facts about the Choice of the Weighting Matrices in Larimore Type of Subspace Algorithms
Institute F. Econometrics, Austria.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2002 (English)In: Automatica, ISSN 0005-1098, Vol. 38, no 5, 763-773 p.Article in journal (Refereed) Published
Abstract [en]

In this paper the effect of some weighting matrices on the asymptotic variance of the estimates of linear discrete time state space systems estimated using subspace methods is investigated. The analysis deals with systems with white or without observed inputs and refers to the Larimore type of subspace procedures. The main result expresses the asymptotic variance of the system matrix estimates in canonical form as a function of some of the user choices, clarifying the question on how to choose them optimally. It is shown, that the CCA weighting scheme leads to optimal accuracy. The expressions for the asymptotic variance can be implemented more efficiently as compared to the ones previously published.

Place, publisher, year, edition, pages
Elsevier, 2002. Vol. 38, no 5, 763-773 p.
Keyword [en]
Asymptotic variance, Discrete time systems, Linear systems, Subspace methods
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-47023DOI: 10.1016/S0005-1098(01)00261-8OAI: diva2:267919

© 2002 Elsevier Science Ltd. All rights reserved.

Available from: 2009-10-11 Created: 2009-10-11 Last updated: 2013-07-17

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ReferencesLink to record
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