Propagator-based methods for recursive subspace model identification

The problem of the online identification of multi-input multi-output (MIMO) state-space models in the framework of discrete-time subspace methods is considered in this paper. Several algorithms, based on a recursive formulation of the MIMO output error state-space (MOESP) identification class, are developed. The main goals of the proposed methods are to circumvent the huge complexity of eigenvalues or singular values decomposition techniques used by the offline algorithm and to provide consistent state-space matrices estimates in a noisy framework. The underlying principle consists in using the relationship between array signal processing and subspace identification to adjust the propagator method (originally developed in array signal processing) to track the subspace spanned by the observability matrix. The problem of the (coloured) disturbances acting on the system is solved by introducing an instrumental variable in the minimised cost functions. A particular attention is paid to th...

• Type: Journal
• Year: 2008
• Where: SIGPRO
• Authors: Guillaume Mercère, Laurent Bako, Stéphane Lecoeuche
• Keywords: Array Signal, Discrete-time Subspace Methods, SIGPRO 2008, Subspace Method