Title :
Stochastic realization on a finite interval via “LQ decomposition” in Hilbert space
Author :
Tanaka, Hideyuki ; Katayama, Tohru
Author_Institution :
Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan
Abstract :
In this paper, we consider a stochastic realization problem with finite covariance data based on “LQ decomposition” in a Hilbert space, and re-derive a non-stationary finite-interval realization ([4, 5]). We develop a new algorithm of computing system matrices of the finite-interval realization by LQ decomposition, followed by the SVD of a certain block matrix. Also, a stochastic subspace identification based on a finite time-series data is briefly discussed.
Keywords :
Covariance matrices; Data models; Hilbert space; Kalman filters; Matrix decomposition; Space stations; Stochastic processes; Hilbert space; LQ-decomposition; Non-stationary realization; Stochastic realization; Stochastic subspace identification;
Conference_Titel :
European Control Conference (ECC), 2003
Conference_Location :
Cambridge, UK
Print_ISBN :
978-3-9524173-7-9
