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Linear Time-Invariant Models of Non-Linear Time-Varying Systems
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2001 (English)Report (Other academic)
Abstract [en]

The standard machinery for system identification of linear time invariant (LTI) models delivers a nominal model and a confidence (uncertainty) region around it, based on (second order moment) residual analysis and covariance estimation. In most cases this gives an uncertainty region that tends to zero as more and more data become available, even if the true system is non-linear and/or time-varying. In this paper, the reasons for this are displayed, and a characterization of the limit LTI model is given under quite general conditions. Various ways are discussed, and tested, to obtain a more realistic limiting model, with uncertainty. These should reflect the distance to the true possibly non-linear, time-varying system, and also form a reliable basis for robust LTI control design.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2001. , 22 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 2363
Keyword [en]
System identification, LTI, Linear time invariant, Covariance estimation, Non-linear
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-55843ISRN: LiTH-ISY-R-2363OAI: oai:DiVA.org:liu-55843DiVA: diva2:316692
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2014-09-04Bibliographically approved

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Ljung, Lennart

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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