Title: Identification of stable models in subspace identification by using regularization
Authors: Van Gestel, Tony ×
Suykens, Johan
Van Dooren, P
De Moor, Bart #
Issue Date: Sep-2001
Publisher: Ieee-inst electrical electronics engineers inc
Series Title: IEEE Transactions on automatic control vol:46 issue:9 pages:1416-1420
Abstract: In subspace identification methods, the system matrices are usually estimated by least squares, based on estimated Kalman filter state sequences and the observed inputs and outputs. Fora finite number of data points, the estimated system matrix is not guaranteed to be stable, even when the true linear system is known to be stable. In this note, stability is imposed by using regularization. The regularization term used here is the trace of a matrix which involves the dynamical system matrix and a positive (semi) definite weighting matrix. The amount of regularization can be determined from a generalized eigenvalue problem. The data augmentation method of Chui and Maciejowski is obtained by using specific choices for the weighting matrix in the regularization term.
ISSN: 0018-9286
Publication status: published
KU Leuven publication type: IT
Appears in Collections:ESAT - STADIUS, Stadius Centre for Dynamical Systems, Signal Processing and Data Analytics
× corresponding author
# (joint) last author

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