Consistency analysis of some closed-loop subspace identification methods

We study statistical consistency of two recently proposed subspace identification algorithms for closed-loop systems. These algorithms een as implementations of an abstract state-space construction procedure described by the authors in previous work on stochastic realization of closed-loop systems. A detailed error analysis is undertaken which shows that both algorithms are biased due to an unavoidable mishandling of initial conditions which occurs in closed-loop identification. Instability of the open loop system may also be a cause of trouble. 2004 Elsevier Ltd. All rights reserved.

• Type: Journal
• Year: 2005
• Where: AUTOMATICA
• Authors: Alessandro Chiuso, Giorgio Picci
• Keywords: Algorithms, AUTOMATICA 2005, Closed-loop Systems, State-space Construction Procedure