Title

Performance analysis of N4SID state-space system identification

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

Proceedings of the American Control Conference

Volume

5

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