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

Volume

5

fYear

1998

fDate

21-26 Jun 1998

Firstpage

2766

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;

fLanguage

English

Publisher

ieee

Conference_Titel

American Control Conference, 1998. Proceedings of the 1998

Conference_Location

Philadelphia, PA

ISSN

0743-1619

Print_ISBN

0-7803-4530-4

Type

conf

DOI

10.1109/ACC.1998.688356

Filename

688356