Convergence analysis of instrumental variable recursive subspace identification algorithms
Automatica (2007)
- ISSN: 00051098
- DOI: 10.1016/j.automatica.2007.01.014
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Abstract
The convergence properties of recently developed recursive subspace identification methods are investigated in this paper. The algorithms operate on the basis of instrumental variable (IV) versions of the propagator method for signal subspace estimation. It is proved that, under suitable conditions on the input signal and the system, the considered recursive subspace identification algorithms converge to a consistent estimate of the propagator and, by extension, to the state-space system matrices. (c) 2007 Elsevier Ltd. All rights reserved.
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