Title :
Performance analysis of N4SID state-space system identification
Author :
Flint, Thomas W. ; Vaccaro, Richard J.
Author_Institution :
Dept. of Electr. Eng., Rhode Island Univ., Kingston, RI, USA
Abstract :
This paper describes a statistical performance analysis method for multivariate subspace system identification algorithms. The analysis is based on a recently developed perturbation expansion of the singular value decomposition. We demonstrate the technique by analyzing the numerical state-space subspace system identification algorithm N4SID. An expression for the variance of the identified eigenvalues based on a finite record of input/output data is derived and verified using MATLAB simulations
Keywords :
eigenvalues and eigenfunctions; identification; numerical analysis; perturbation techniques; singular value decomposition; state-space methods; statistical analysis; I/O data; MATLAB simulations; N4SID state-space system identification; SVD; eigenvalues; input/output data; multivariate subspace system identification algorithms; numerical state-space subspace system identification algorithm; perturbation expansion; singular value decomposition; statistical performance analysis method; Additive noise; Algorithm design and analysis; Covariance matrix; Least squares approximation; Mathematical model; Observability; Performance analysis; Singular value decomposition; State estimation; System identification;
Conference_Titel :
American Control Conference, 1998. Proceedings of the 1998
Conference_Location :
Philadelphia, PA
Print_ISBN :
0-7803-4530-4
DOI :
10.1109/ACC.1998.688356
