An “Indefinite Realization” Algorithm via Riccati Difference Equation

This paper studies a realization algorithm for modeling dynamical systems subject to a bounded error. An iterative algorithm is developed based on “indefinite realization”, which is a generalization of stochastic realization. A Riccati difference equation for indefinite realization is derived, and i...

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Bibliographic Details
Published inIFAC Proceedings Volumes Vol. 42; no. 10; pp. 108 - 113
Main Author Tanaka, Hideyuki
Format Journal Article
LanguageEnglish
Published 2009
Subjects
bounded errors
indefinite realization
Riccati difference equation
state space identification
stochastic realization
bounded errors
stochastic realization
indefinite realization
Riccati difference equation
state space identification
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ISSN1474-6670
DOI10.3182/20090706-3-FR-2004.00017

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Summary:This paper studies a realization algorithm for modeling dynamical systems subject to a bounded error. An iterative algorithm is developed based on “indefinite realization”, which is a generalization of stochastic realization. A Riccati difference equation for indefinite realization is derived, and it is shown that the Riccati recursion converges to the stabilizing solution to the steady state Riccati equation under certain assumptions. Numerical simulation results are also included.
ISSN:1474-6670
DOI:10.3182/20090706-3-FR-2004.00017