Identification of the deterministic part of MIMO state space models given in innovations form from input-output data

Abstract

In this paper we describe two algorithms to identify a linear, time-invariant, finite dimensional state space model from input-output data. The system to be identified is assumed to be excited by a measurable input and an unknown process noise and the measurements are disturbed by unknown measurement noise. Both noise sequences are discrete zero-mean white noise. The first algorithm gives consistent estimates only for the case where the input also is zero-mean white noise, while the same result is obtained with the second algorithm without this constraint. For the special case where the input signal is discrete zero-mean white noise, it is explicitly shown that this second algorithm is a special case of the recently developed Multivariable Output-Error State Space ( moesp) class of algorithms based on instrumental variables. The usefulness of the presented schemes is highlighted in a realistic simulation study.