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Identification of stochastic linear systems in presence of input noise
Uppsala University, Teknisk-naturvetenskapliga vetenskapsområdet, Mathematics and Computer Science, Department of Information Technology. Uppsala University, Teknisk-naturvetenskapliga vetenskapsområdet, Mathematics and Computer Science, Department of Information Technology, Automatic control.
1981 (English)In: Automatica, Vol. 17, no 5, 713-725 p.Article in journal (Refereed) Published
Abstract [en]

Most identification methods rely on the assumption that the input is known exactly. However, when collecting data under an identification experiment it may not be possible to avoid noise when measuring the input signal. In the paper some different ways to identify systems from noisy data are discussed. Sufficient conditions for identifiability are given. Also accuracy properties and the computational requirements are discussed. A promising approach is to treat the measured input and output signals as outputs of a multivariable stochastic system. If a prediction error method is applied using this approach the system will be identifiable under mild conditions.

Place, publisher, year, edition, pages
1981. Vol. 17, no 5, 713-725 p.
Keyword [en]
Identification, parameter estimation, stochastic systems, linear systems, correlation methods, Kalman filters, state space methods, prediction error methods
Identifiers
URN: urn:nbn:se:uu:diva-25022OAI: oai:DiVA.org:uu-25022DiVA: diva2:52796
Available from: 2007-02-08 Created: 2007-02-08 Last updated: 2011-01-16

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Söderström, T

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