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In this paper, we consider a stochastic realization problem with finite covariance data based on " LQ decomposition " in a Hilbert space, and re-derive a non-stationary finite-interval realization ([4, 5]). We develop a new algorithm of computing system matrices of the finite-interval realization by LQ decomposition, followed by the SVD of a certain block(More)
We develop a closed loop subspace identification method based on stochastic realization theory. Using the preliminary orthogonal decomposition of (Picci and Katayama, 1996b) we show that, under the assumption that the exogenous input is feedback-free and persistently exciting (PE), the identification of closed loop systems is divided into two subproblems:(More)
This paper is concerned with the identification of a class of piecewise affine systems called a piecewise affine autoregressive exogenous (PWARX) model. The PWARX model is composed of ARX sub-models each of which corresponds to a polyhedral region of the regression space. Under the temporary assumption that the number of sub-models is known a priori, the(More)
In this paper we consider the generalized algebraic Riccati equation (GARE) for a continuous-time descriptor system. Necessary and sucient conditions for the existence of stabilizing solutions of the GARE are derived based on the Hamiltonian matrix pencil approach. A parametrization of all stabilizing solutions is also provided. The main result has a(More)