- Title
- A recursive algorithm for mimo stochastic model estimation
- Creator
- Aguero, Juan C.; Goodwin, Graham C.
- Relation
- 5th Asian Control Conference 2004. Proceedings of the 5th Asian Control Conference: Melbourne, 20-23 July, 2004. Vol. 3 (Melbourne 20-23 July, 2004) p. 1658-1666
- Relation
- http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=1426889
- Publisher
- Institute of Electrical and Electronics Engineers (IEEE)
- Resource Type
- conference paper
- Date
- 2004
- Description
- Multivariable system identification is known to be a difficult problem. In part, this is due to the fact that, in general, the likelihood function is non-convex. The most commonly used class of procedures for off-line identification of multivariable systems is the method commonly known as sub-space. These methods avoid the non-convexity issue by using a multi-step procedure, which includes a singular value decomposition. Unfortunately, it is not easy to develop a recursive form of these sub-space algorithms due to the singular value decomposition step. Here, we borrow ideas from the sub-space methodologies to develop a novel recursive algorithm. We assume that the Kronecker invariants for the system are known. We also illustrate the performance of the algorithm via a simple example.
- Subject
- MIMO stochastic model estimation; multivariable system identification; recursive algorithm; singular value decomposition; sub-space algorithm
- Identifier
- http://hdl.handle.net/1959.13/28595
- Identifier
- uon:2150
- Identifier
- ISBN:0780388739
- Rights
- Copyright © 2004 IEEE. Reprinted from the 5th Asian Control Conference 2004, p. 1658-1666. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of the University of Newcastle's products or services. Internal or personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution must be obtained from the IEEE by writing to pubs-permissions@ieee.org. By choosing to view this document, you agree to all provisions of the copyright laws protecting it.
- Language
- eng
- Full Text
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