Consistency analysis of some closed-loop subspace identification methods

Authors:
Alessandro Chiuso;Giorgio Picci
Affiliations:
Department of Information Engineering, University of Padova, 35131 Padova, Italy;Department of Information Engineering, University of Padova, 35131 Padova, Italy
Venue:
Automatica (Journal of IFAC)
Year:
2005

Citing 8
Cited 8

The statistical theory of linear systems

The statistical theory of linear systems
Application of a subspace model identification technique to identify LTI systems operating in closed-loop

Automatica (Journal of IFAC) - Special section on fault detection, supervision and safety for technical processes
N4SID: subspace algorithms for the identification of combined deterministic-stochastic systems

Automatica (Journal of IFAC) - Special issue on statistical signal processing and control
Canonical correlation analysis, approximate covariance extension, and identification of stationary time series

Automatica (Journal of IFAC)
Stochastic realization with exogenous inputs and “subspace-methods” identification

Signal Processing - Special issue: subspace methods, part II: system identification
Subspace identification from closed loop data

Signal Processing - Special issue: subspace methods, part II: system identification
Numerical conditioning and asymptotic variance of subspace estimates

Automatica (Journal of IFAC)
On the ill-conditioning of subspace identification with inputs

Automatica (Journal of IFAC)

Book review: Subspace methods for system identification

Automatica (Journal of IFAC)
The role of vector autoregressive modeling in predictor-based subspace identification

Automatica (Journal of IFAC)
Brief paper: An approach to closed-loop subspace identification by orthogonal decomposition

Automatica (Journal of IFAC)
Subspace identification of Bilinear and LPV systems for open- and closed-loop data

Automatica (Journal of IFAC)
Asymptotic properties of subspace estimators

Automatica (Journal of IFAC)
Closed-loop subspace identification using the parity space

Automatica (Journal of IFAC)
A Bayesian approach to sparse dynamic network identification

Automatica (Journal of IFAC)
Subspace-based fault detection robust to changes in the noise covariances

Automatica (Journal of IFAC)

Quantified Score

Hi-index	22.16

Visualization

Abstract

We study statistical consistency of two recently proposed subspace identification algorithms for closed-loop systems. These algorithms may be seen as implementations of an abstract state-space construction procedure described by the authors in previous work on stochastic realization of closed-loop systems. A detailed error analysis is undertaken which shows that both algorithms are biased due to an unavoidable mishandling of initial conditions which occurs in closed-loop identification. Instability of the open loop system may also be a cause of trouble.