Recursive Subspace Prediction of Linear Time - Varying Stochastic Systems
نویسندگان
چکیده
In this paper, a new subspace method for predicting time-invariant/varying stochastic systems is investigated in the 4SID framework. Using the concept of angle between past and current subspaces spanned by the extended observability matrices, the future subspace is predicted by rotating current subspace in the geometrical sense. In order to treat even time-varying system, a recursive algorithm is derived for implementation. The proposed algorithm is tested by simulation experiments. Copyright c ⃝2005 IFAC
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تاریخ انتشار 2005