Instrumental variable methods for closed-loop system identification

  • Authors:

  • Marion Gilson;Paul Van Den Hof

  • Affiliations:

  • Centre de Recherche en Automatique de Nancy (CRAN), CNRS UMR 7039, Université Henri Poincaré, Nancy 1, BP 239, F-54506 Vandoeuvre-lès-Nancy Cedex, France;Delft Center for Systems and Control, Delft University of Technology, Mekelweg 2, 2628 CD Delft, The Netherlands

  • Venue:
  • Automatica (Journal of IFAC)
  • Year:
  • 2005

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Abstract

In this paper, several instrumental variable (IV) and instrumental variable-related methods for closed-loop system identification are considered and set in an extended IV framework. Extended IV methods require the appropriate choice of particular design variables, as the number and type of instrumental signals, data prefiltering and the choice of an appropriate norm of the extended IV-criterion. The optimal IV estimator achieves minimum variance, but requires the exact knowledge of the noise model. For the closed-loop situation several IV methods are put in an extended IV framework and characterized by different choices of design variables. Their variance properties are considered and illustrated with a simulation example.