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Some facts about the Choice of the Weighting Matrices in Larimore Type of Subspace Algorithms
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.
2000 (English)Report (Other academic)
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
Linköping: Linköping University Electronic Press, 2000. , 12 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 2305
Keyword [en]
Asymptotic variance, Discrete time systems, Linear systems, Subspace methods
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-55755ISRN: LiTH-ISY-R-2305OAI: oai:DiVA.org:liu-55755DiVA: diva2:316576
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2014-07-29Bibliographically approved

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Ljung, Lennart

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CiteExportLink to record
Permanent link

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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