14th IFAC Symposium on System Identification, SYSID 2006

SYSID-2006 Paper Abstract

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Paper WeA5.1

Mercère, Guillaume (Univ. de Poitiers), Lovera, Marco (Pol. di Milano)

Convergence Analysis of Instrumental Variable Recursive Subspace Identification Algorithms

Scheduled for presentation during the Regular Session "Subspace identification" (WeA5), Wednesday, March 29, 2006, 10:30−10:50, 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, Recursive Identification

Abstract

The convergence properties of a recently developed recursive subspace identification algorithm of the MOESP class are investigated in this paper. The algorithm operates on the basis of an extended instrumental variable (EIV) version of the propagator method for signal subspace estimation. It is proved that, under weak conditions on the input signal and the identified system, the considered recursive subspace identification algorithm converges to a consistent estimate of the propagator and, by extension, of the state space system matrices.