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AUTOMATICA
2005

Instrumental variable methods for closed-loop system identification

13 years 3 months ago
Instrumental variable methods for closed-loop system identification
In this paper, several instrumental variable (IV) and instrumental variable-related methods for closed-loop system identification are considered and set in an extended IV framework. Extended IV methods require the appropriate choice of particular design variables, as the number and type of instrumental signals, data prefiltering and the choice of an appropriate norm of the extended IV-criterion. The optimal IV estimator achieves minimum variance, but requires the exact knowledge of the noise model. For the closed-loop situation several IV methods are put in an extended IV framework and characterized by different choices of design variables. Their variance properties are considered and illustrated with a simulation example. 2004 Elsevier Ltd. All rights reserved.
Marion Gilson, Paul M. J. Van den Hof
Added 15 Dec 2010
Updated 15 Dec 2010
Type Journal
Year 2005
Where AUTOMATICA
Authors Marion Gilson, Paul M. J. Van den Hof
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