Subspace identification by data orthogonalization and model decoupling

Alessandro Chiuso

doi:10.1016/j.automatica.2004.05.008

2004-10-01

PRE

Alessandro Chiuso

Giorgio Picci

DOI：10.1016/j.automatica.2004.05.008

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摘要

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It has been observed that identification of state-space models with inputs may lead to unreliable results in certain experimental conditions even when the input signal excites well within the bandwidth of the system. This may be due to ill-conditioning of the identification problem, which occurs when the state space and the future input space are nearly parallel. We have in particular shown in the companion papers (Automatica 40(4) (2004) 575; Automatica 40(4) (2004) 677) that, under these circumstances, subspace methods operating on input-output data may be ill-conditioned, quite independently of the particular algorithm which is used. In this paper, we indicate that the cause of ill-conditioning can sometimes be cured by using orthogonalized data and by recasting the model into a certain natural block-decoupled form consisting of a deterministic and a stochastic subsystem. The natural subspace algorithm for the identification of the deterministic subsystem is then a weighted version of the PI-MOESP method of Verhaegen and Dewilde (Int. J. Control 56 (1993) 1187-1211). The analysis shows that, under certain conditions, methods based on the block-decoupled parametrization and orthogonal decomposition of the input-output data, perform better than traditional joint-model-based methods in the circumstance of nearly parallel regressors. (C) 2004 Elsevier Ltd. All rights reserved.

Keyword:

subspace identification

exogenous inputs

stochastic realization

statistical analysis

stochastic state-space identification