Prefiltering of Frequency Domain Data Based on Wold's Decomposition for System Identification

Abstract

In this paper, we propose a prefiltering method of frequency domain data for linear multiple-input multiple-output time-invariant system identification. This paper only deals with the case where the frequency domain input-output data is given by discrete Fourier transform. The concept of the proposed method is to eliminate the disturbance factor from the output data, it can be performed by orthogonal decomposition based on Wold's decomposition. Thus, by employing MIMO system identification method based on the frequency domain data given by the discrete Fourier transform, the data implemented by the proposed method can derive more accurate model. LQ decomposition is the key tool in the proposed method, it actually computes the orthogonal decomposition of the frequency domain data instead of Wold's decomposition. The efficacy of the proposed method is shown in numerical experimental.