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Closed-Loop Continuous-Time Subspace Identification with Prior Information

Author

Listed:
  • Miao Yu

    (College of Information Science and Engineering, Northeastern University, Shenyang 110819, China)

  • Wanli Wang

    (College of Information Science and Engineering, Northeastern University, Shenyang 110819, China)

  • Youyi Wang

    (College of Information Science and Engineering, Northeastern University, Shenyang 110819, China)

Abstract

This paper presents a closed-loop continuous-time subspace identification method using prior information. Based on a rational inner function, a generalized orthonormal basis can be constructed, and the transformed noises have ergodicity features. The continuous-time stochastic system is converted into a discrete-time stochastic system by using generalized orthogonal basis functions. As is known to all, incorporating prior information into identification strategies can increase the precision of the identified model. To enhance the precision of the identification method, prior information is integrated through the use of constrained least squares, and principal component analysis is adopted to achieve the reliable estimate of the system. Moreover, the identification of open-loop models is the primary intent of the continuous-time system identification approaches. For closed-loop systems, the open-loop subspace identification methods may produce biased results. Principal component analysis, which reliably estimates closed-loop systems, provides a solution to this problem. The restricted least-squares method with an equality constraint is used to incorporate prior information into the impulse response following the principal component analysis. The input–output algebraic equation yielded an optimal multi-step-ahead predictor, and the equality constraints describe the prior information. The effectiveness of the proposed method is provided by numerical simulations.

Suggested Citation

  • Miao Yu & Wanli Wang & Youyi Wang, 2023. "Closed-Loop Continuous-Time Subspace Identification with Prior Information," Mathematics, MDPI, vol. 11(24), pages 1-16, December.
  • Handle: RePEc:gam:jmathe:v:11:y:2023:i:24:p:4924-:d:1298033
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    References listed on IDEAS

    as
    1. Youqing Wang & Ling Zhang & Yali Zhao, 2018. "Improved closed-loop subspace identification with prior information," International Journal of Systems Science, Taylor & Francis Journals, vol. 49(9), pages 1821-1835, July.
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    1. Miao Yu & Youyi Wang & Wanli Wang & Yongtao Wei, 2023. "Continuous-Time Subspace Identification with Prior Information Using Generalized Orthonormal Basis Functions," Mathematics, MDPI, vol. 11(23), pages 1-17, November.

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