Algorithms for deterministic balanced subspace identification

Markovsky*, JC Willems, P Rapisarda, BLM De Moor

*Corresponding author for this work

    Research output: Contribution to journalArticleAcademicpeer-review

    48 Citations (Web of Science)

    Abstract

    New algorithms for identification of a balanced state space representation are proposed. They are based on a procedure for the estimation of impulse response and sequential zero input responses directly from data. The proposed algorithms are more efficient than the existing alternatives that compute the whole Hankel matrix of Markov parameters. It is shown that the computations can be performed on Hankel matrices of the input-output data of various dimensions. By choosing wider matrices, we need persistency of excitation of smaller order. Moreover, this leads to computational savings and improved statistical accuracy when the data is noisy. Using a finite amount of input-output data, the existing algorithms compute finite time balanced representation and the identified models have a lower bound on the distance to an exact balanced representation. The proposed algorithm can approximate arbitrarily closely an exact balanced representation. Moreover, the finite time balancing parameter can be selected automatically by monitoring the decay of the impulse response. We show what is the optimal in terms of minimal identifiability condition partition of the data into "past" and "future". (c) 2004 Elsevier Ltd. All rights reserved.

    Original languageEnglish
    Pages (from-to)755-766
    Number of pages12
    JournalAutomatica
    Volume41
    Issue number5
    DOIs
    Publication statusPublished - May 2005

    Keywords

    • exact deterministic subspace identification
    • balanced model reduction
    • approximate system identification
    • MPUM
    • LINEAR-SYSTEMS
    • MODEL-REDUCTION

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