liu.seSearch for publications in DiVA
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
A Statistical Perspective on State-Space Modelling using Subspace Methods
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1991 (English)Report (Other academic)
Abstract [en]

The authors investigate aspects of subspace-based state-space identification techniques from a statistical perspective. They concentrate their efforts on a simple approach which is based on finding the range-space of the observability matrix of a state-space representation. The system description is then found using the shift-invariance property of the observability matrix. It is shown that this results in a consistent system description for multivariable output-error models if the measurement noise is white in time and independent from output to output. The asymptotic covariance of the estimated poles of the system is also derived. In the test case studied, the subspace technique performs comparably with the statistically efficient PE (prediction error) method, whereas the instrumental variable method does notably worse. Hence, the subspace technique may be a strong candidate for determining initial values for the optimization in the efficient PE method.

Place, publisher, year, edition, pages
Linköping: Linköping University , 1991.
Series
LiTH-ISY-I, ISSN 8765-4321 ; 1269
Keyword [en]
Identification, Matrix algebra, Modeling, Observability, Poles and zeros, State-space methods, Statistics
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-55474OAI: oai:DiVA.org:liu-55474DiVA: diva2:316129
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2013-07-29

Open Access in DiVA

No full text

Authority records BETA

Ljung, Lennart

Search in DiVA

By author/editor
Ljung, Lennart
By organisation
Automatic ControlThe Institute of Technology
Control Engineering

Search outside of DiVA

GoogleGoogle Scholar

urn-nbn

Altmetric score

urn-nbn
Total: 42 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf