Technical Communique: Asymptotic variance expressions for closed-loop identification

  • Authors:

  • Michel Gevers;Lennart Ljung;Paul Van Den Hof

  • Affiliations:

  • CESAME, Bítiment Euler, Louvain University, B-1348 Louvain-la-Neuve, Belgium;Department of Electrical Engineering, Linköping University, S-581 83 Linköping, Sweden;Signals, Systems and Control Group, Department of Applied Physics, Delft University of Technology, Lorentzweg 1, 2628 CJ Delft, Netherlands

  • Venue:
  • Automatica (Journal of IFAC)
  • Year:
  • 2001

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Abstract

Asymptotic variance expressions are analyzed for models that are identified on the basis of closed-loop data. The considered methods comprise the classical 'direct' method, as well as the more recently developed indirect methods, employing coprime factorized models, dual Youla/Kucera parametrizations and the two-stage approach. The variance expressions are compared with the open-loop situation, and evaluated in terms of their relevance for subsequent model-based control design.