On consistency of closed-loop subspace identification with innovation estimation

Weilu LIN; S. Joe QIN; Lennart LJUNG

doi:10.1109/cdc.2004.1430374

On consistency of closed-loop subspace identification with innovation estimation

Weilu LIN
, S. Joe QIN^*
, Lennart LJUNG

^*Corresponding author for this work

Research output: Book Chapters | Papers in Conference Proceedings › Conference paper (refereed) › Referred Conference Paper › peer-review

30 Citations (Scopus)

Abstract

In this paper, we show that the consistency of closed-loop subspace identification methods (SIMs) can be achieved through innovation estimation. Based on this analysis, a sufficient condition for the consistency of a new proposed closed-loop SIM is given. A consistent estimate of the Kalman gain under closed-loop conditions is also provided based on the algorithm. A multi-input-multi-output (MIMO) simulation shows that it is consistent under closed-loop condition, when traditional SIMs fail to provide consistent estimates.

Original language	English
Title of host publication	2004 43rd IEEE Conference on Decision and Control (CDC)
Publisher	Institute of Electrical and Electronics Engineers
Pages	2195-2200
Number of pages	6
ISBN (Print)	0780386825
DOIs	https://doi.org/10.1109/cdc.2004.1430374
Publication status	Published - Dec 2004
Externally published	Yes
Event	43rd IEEE Conference on Decision and Control (CDC) - Nassau, Bahamas Duration: 14 Dec 2004 → 17 Dec 2004

Publication series

Name	Proceedings of the IEEE Conference on Decision and Control
Publisher	Institute of Electrical and Electronics Engineers
ISSN (Print)	0743-1546
ISSN (Electronic)	2576-2370

Conference

Conference	43rd IEEE Conference on Decision and Control (CDC)
Country/Territory	Bahamas
City	Nassau
Period	14/12/04 → 17/12/04

Access to Document

10.1109/cdc.2004.1430374

Cite this

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title = "On consistency of closed-loop subspace identification with innovation estimation",

abstract = "In this paper, we show that the consistency of closed-loop subspace identification methods (SIMs) can be achieved through innovation estimation. Based on this analysis, a sufficient condition for the consistency of a new proposed closed-loop SIM is given. A consistent estimate of the Kalman gain under closed-loop conditions is also provided based on the algorithm. A multi-input-multi-output (MIMO) simulation shows that it is consistent under closed-loop condition, when traditional SIMs fail to provide consistent estimates.",

author = "Weilu LIN and QIN, \{S. Joe\} and Lennart LJUNG",

year = "2004",

month = dec,

doi = "10.1109/cdc.2004.1430374",

language = "English",

isbn = "0780386825",

series = "Proceedings of the IEEE Conference on Decision and Control",

publisher = "Institute of Electrical and Electronics Engineers",

pages = "2195--2200",

booktitle = "2004 43rd IEEE Conference on Decision and Control (CDC)",

address = "United States",

note = "43rd IEEE Conference on Decision and Control (CDC) ; Conference date: 14-12-2004 Through 17-12-2004",

}

LIN, W, QIN, SJ & LJUNG, L 2004, On consistency of closed-loop subspace identification with innovation estimation. in 2004 43rd IEEE Conference on Decision and Control (CDC)., WeB11.2, Proceedings of the IEEE Conference on Decision and Control, Institute of Electrical and Electronics Engineers, pp. 2195-2200, 43rd IEEE Conference on Decision and Control (CDC), Nassau, Bahamas, 14/12/04. https://doi.org/10.1109/cdc.2004.1430374

On consistency of closed-loop subspace identification with innovation estimation. / LIN, Weilu; QIN, S. Joe; LJUNG, Lennart.
2004 43rd IEEE Conference on Decision and Control (CDC). Institute of Electrical and Electronics Engineers, 2004. p. 2195-2200 WeB11.2 (Proceedings of the IEEE Conference on Decision and Control).

Research output: Book Chapters | Papers in Conference Proceedings › Conference paper (refereed) › Referred Conference Paper › peer-review

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T1 - On consistency of closed-loop subspace identification with innovation estimation

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AU - QIN, S. Joe

AU - LJUNG, Lennart

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N2 - In this paper, we show that the consistency of closed-loop subspace identification methods (SIMs) can be achieved through innovation estimation. Based on this analysis, a sufficient condition for the consistency of a new proposed closed-loop SIM is given. A consistent estimate of the Kalman gain under closed-loop conditions is also provided based on the algorithm. A multi-input-multi-output (MIMO) simulation shows that it is consistent under closed-loop condition, when traditional SIMs fail to provide consistent estimates.

AB - In this paper, we show that the consistency of closed-loop subspace identification methods (SIMs) can be achieved through innovation estimation. Based on this analysis, a sufficient condition for the consistency of a new proposed closed-loop SIM is given. A consistent estimate of the Kalman gain under closed-loop conditions is also provided based on the algorithm. A multi-input-multi-output (MIMO) simulation shows that it is consistent under closed-loop condition, when traditional SIMs fail to provide consistent estimates.

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U2 - 10.1109/cdc.2004.1430374

DO - 10.1109/cdc.2004.1430374

M3 - Conference paper (refereed)

SN - 0780386825

T3 - Proceedings of the IEEE Conference on Decision and Control

SP - 2195

EP - 2200

BT - 2004 43rd IEEE Conference on Decision and Control (CDC)

PB - Institute of Electrical and Electronics Engineers

T2 - 43rd IEEE Conference on Decision and Control (CDC)

Y2 - 14 December 2004 through 17 December 2004

ER -

On consistency of closed-loop subspace identification with innovation estimation

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