The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
It has been experimentally verified that most commonly used subspace methods for identification of linear state-space systems with exogenous inputs may, in certain experimental conditions, run into ill-conditioning and lead to ambiguous results. An analysis of the critical situations has lead us to propose a new algorithmic structure which could be used either to test difficult cases andor to implement...
In this paper we study stochastic realization of stationary processes with exogenous inputs in the absence of feedback and we briefly discuss its application to identification. In particular, we derive and characterize the family of minimal state-space models of such processes and introduce a very natural block structure which is generically minimal. This model structure leads very naturally to...
In this paper we analyze a class of state space identification algorithms for time-series, based on canonical correlation analysis, in the light of recent results on stochastic systems theory. In principle, these so called subspace methods can be described as covariance estimation followed by stochastic realization. The methods offer the major advantage of converting the nonlinear parameter...
Two different well known approches to the spectral factorization problem ?(s)=W(s)W' (-s) are connected together by relating the geometric properties of the solution set of the underlying Algebraic Riccati Equation to the structure of the "all pass" factor of each minimal solution W(s).
Given a purely nondeterministic mean-square continuous Gaussian stationary stochastic process we consider the problem of characterizing all minimal splitting subspaces X which evolve in time in a Markovian fashion. Let H+/- and H-/+ be the projection of the future of the given process onto the past and the past onto the future respectively. It is shown that the family {X} of minimal Markovian splitting...
The problem of determining all (internal) Markovian representations (realizations) for a Gaussian stochastic process with stationary increments and rational spectral density is resolved. A complete characterization of all minimal splitting subspaces (state spaces) is presented, and it is shown that these are completely determined by the numerator polynomial of the spectral density and the degree of...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.