Identifiability of linear stochastic systems operating under linear feedback |
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Authors: | B.D.O. Anderson M.R. Gevers |
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Affiliation: | 3. Department of Electrical Engineering, Louvain University, 1348 Louvain la Neuve, Belgium |
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Abstract: | The identifiability of multiple input-multiple output stochastic systems operating in closed loop is considered for the case where the plant and the regulator are both linear and time-invariant. Two basic identification methods have been proposed for such systems: the joint input-output method, in which the input and output processes are modelled jointly as the output of a white noise driven system; and the direct method, in which a prediction error method is used on the input-output data as if the system were in open loop. Previously obtained identifiability results for the joint input-output method are extended to a number of new situations, including but extending beyond the identifiability results obtained with the direct method. |
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Keywords: | Identification closed-loop systems stochastic systems |
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