Stochastic realization on a finite interval via 'LQ decomposition' in Hilbert space

European Control Conference, ECC 2003

Volumn , Issue , 2003, Pages 779-784

  Tanaka, Hideyuki ^a   Katayama, Tohru ^a  

^a KYOTO UNIVERSITY   (Japan)

Author keywords

Hilbert space; LQ decomposition; Non stationary realization; Stochastic realization; Stochastic subspace identification

Indexed keywords

HILBERT SPACES; MATRIX ALGEBRA; VECTOR SPACES;

BLOCK MATRICES; COMPUTING SYSTEM; COVARIANCE DATA; FINITE INTERVALS; LQ DECOMPOSITION; NONSTATIONARY; STOCHASTIC REALIZATION; STOCHASTIC SUBSPACE IDENTIFICATION;

STOCHASTIC SYSTEMS;

EID: 84949087792     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.23919/ecc.2003.7085052     Document Type: Conference Paper

References (8)

1. H. Akaike, "Markovian representation of stochastic processes by canonical variables", SIAM J. Control, vol. 13, no. 1, pp. 162-173, 1975.
2. U. B. Desai, D. Pal and R. D. Kirkpatrick, "A realization approach to stochastic model reduction", International J. Control, vol. 42, no. 4, pp. 821-838, 1985.
3. P. L. Faurre, "Stochastic realization algorithms", In System Identification: Advances and Case Studies (R. K. Mehra and D. G. Lainiotis, eds.), Academic, pp. 1-25, 1976.
4. A. Lindquist and G. Picci, "Geometric methods for state space identification", In Identification, Adaptation, Learning: The Science of Learning Models from Data (S. Bittanti and G. Picci, eds.), Springer, pp. 1-69, 1996.
5. A. Lindquist and G. Picci, "Canonical correlation analysis, approximate covariance extension, and identification of stationary time series", Automatica, vol. 32, no. 5, pp. 709-733, 1996.
6. H. Tanaka and T. Katayama, "A stochastic realization in a Hilbert space based on "LQ decomposition" with application to subspace identification", Proc. 13th IFAC symposium on System Identification (SYSID2003) (to appear).
7. P. Van Overschee and B. De Moor, "Subspace algorithms for the stochastic identification problem", Automatica, vol. 29, no. 3, pp. 649-660, 1993.
8. P. Van Overschee and B. De Moor, Subspace Identification for Linear Systems, Kluwer Academic Pub., 1996.