Performance analysis of N4SID state-space system identification

Authors

Thomas W. Flint, University of Rhode Island
Richard J. Vaccaro, University of Rhode Island

Document Type

Conference Proceeding

Date of Original Version

12-1-1998

Abstract

This paper describes a statistical performance analysis method for multi-variate subspace system identification algorithms. The analysis is based on a recently developed perturbation expansion of the singular value decomposition. We demonstrate the technique by analyzing the numerical state-space subspace system identification algorithm N4SID. An expression for the variance of the identified eigenvalues based on a finite record of input/output data is derived and verified using MATLAB simulations. © 1998 AACC.

Publication Title, e.g., Journal

Proceedings of the American Control Conference

Volume

5

Citation/Publisher Attribution

Flint, Thomas W., and Richard J. Vaccaro. "Performance analysis of N4SID state-space system identification." Proceedings of the American Control Conference 5, (1998): 2766-2767. doi: 10.1109/ACC.1998.688356.