A New Recursive Method for Subspace Identification of Noisy Systems: EIVPM

Abstract

In this article, a new recursive identification method based on subspace algorithms is proposed. This method is directly inspired by the Propagator Method used in sensor array signal processing to estimate directions of arrival (DOA) of waves impinging an antenna array. Particularly, a new quadratic criterion and a recursive formulation of the estimation of the subspace spanned by the observability matrix are presented. The problem of process and measurement noises is solved by introducing an instrumental variable within the minimized criterion.