14th IFAC Symposium on System Identification, SYSID 2006

SYSID-2006 Paper Abstract


Paper WeA5.2

Takei, Yoshinori (Kanazawa Inst. of Tech.), Nanto, Hidehito (Kanazawa Inst. of Tech.), Kanae, Shunshoku (Kyushu Univ.), Yang, Zi-Jiang (Kyushu Univ.), Wada, Kiyoshi (Kyushu Univ.)

Recursive Updating of Error Covariance Matrix in Subspace Methods

Scheduled for presentation during the Regular Session "Subspace identification" (WeA5), Wednesday, March 29, 2006, 10:50−11:10, 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, Recursive Identification, Multivariable System Identification


Using a unified approach, recursive algorithms of the error covariance matrices in subspace methods are derived for the MOESP type of subspace methods. The proposed approach is based on the fact that the subspace extraction amounts to computing singular value decomposition of the Schur complement (SC) of the input submatrix in data product moments and the SC can be interpreted as the least squares residuals. The recursion of the error covariance matrix can be applied to derive recursive subspace identification algorithms.