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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| Published in | IFAC Proceedings Volumes Vol. 42; no. 10; pp. 108 - 113 |
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| Main Author | |
| Format | Journal Article |
| Language | English |
| Published |
2009
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| Subjects | |
| Online Access | Get full text |
| ISSN | 1474-6670 |
| DOI | 10.3182/20090706-3-FR-2004.00017 |
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| Abstract | 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. |
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| AbstractList | 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. |
| Author | Tanaka, Hideyuki |
| Author_xml | – sequence: 1 givenname: Hideyuki surname: Tanaka fullname: Tanaka, Hideyuki email: htanaka@amp.i.kyoto-u.ac.jp organization: Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan. (Tel: +81-75-753-4754 |
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| Cites_doi | 10.1109/TAC.1984.1103438 10.1109/CDC.2007.4434230 10.1109/TAC.2002.805666 10.1109/9.554399 10.1109/TAC.2003.812821 10.1016/0005-1098(90)90005-3 10.1016/0005-1098(94)90230-5 10.1016/0005-1098(82)90110-8 10.1016/0005-1098(96)80649-2 10.1109/9.769366 10.1137/S0363012903434741 10.1109/MCS.2006.252834 10.1109/TAC.1968.1098790 10.1137/0328071 10.1137/0313010 10.1016/0005-1098(93)90061-W |
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| Keywords | bounded errors stochastic realization indefinite realization Riccati difference equation state space identification |
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| Snippet | This paper studies a realization algorithm for modeling dynamical systems subject to a bounded error. An iterative algorithm is developed based on “indefinite... |
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| SubjectTerms | bounded errors indefinite realization Riccati difference equation state space identification stochastic realization |
| Title | An “Indefinite Realization” Algorithm via Riccati Difference Equation |
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