14th IFAC Symposium on System Identification, SYSID 2006

SYSID-2006 Paper Abstract

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Paper WeA5.4

Chiuso, Alessandro (Univ. of Padova)

Asymptotic Equivalence of Certain Closed Loop Subspace Identification Methods

Scheduled for presentation during the Regular Session "Subspace identification" (WeA5), Wednesday, March 29, 2006, 11:30−11:50, Mulubinba Room

14th IFAC Symposium on System Identification, March 29 - 31, 2006, Newcastle, Australia

This information is tentative and subject to change. Compiled on July 17, 2018

Keywords Subspace Methods, Closed Loop Identification, Error Quantification

Abstract

Subspace identification for closed loop systems has been recently studied by several authors.

Even though results are available which allows to compute the asymptotic variance of the estimated parameters for several algorithms, less clear is the situation as to relative performance is concerned. In this paper we partly answer this last question showing that the SSARX algorithm introduced by Jansson, which requires preliminary ARX modeling, and its ``geometric version'' called PBSID in the literature, which does not require any preliminary estimation step, are asymptotically equivalent. The question as to which is to be preferred in practice when working with finite data size remains open.