Performance analysis of N4SID state-space system identification
Date of Original Version
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.
Proceedings of the American Control Conference
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.