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TITLE: State representations from finite time series
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AUTHORS: Ivan Markovsky, Jan C. Willems, and Bart De Moor
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ABSTRACT: We present two algorithms for construction of a state sequence of a linear time-invariant system from a finite exact trajectory of that system. The first algorithm uses the classical in subspace identification splitting of the data into "past" and "future" and computes a bases for the past--future intersection. The second algorithm, based on the shift-and-cut map, operates on a half deeper Hankel matrix.
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KEYWORDS: Subspace identification, state construction, shift-and-cut map, persistency of excitation, behavioral systems.
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STATUS: In the proceedings of the Conference on Decision and Control 2005 (CDC-ECC'05), pages 832-835, 2005.
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DATE OF ENTRY: March 2005
@InProceedings{MW05,
author = {I. Markovsky and J. C. Willems and B. {De Moor}},
title = {State representations from finite time series},
booktitle = {Proc. of the Conf. on Decision and Control},
pages = {832--835},
year = {2005},
address = {Seville, Spain}
}