Continuous-Time Model Identification and State Estimation Using Non-Uniformly Sampled Data

@inproceedings{Johansson2010ContinuousTimeMI,
  title={Continuous-Time Model Identification and State Estimation Using Non-Uniformly Sampled Data},
  author={Rolf Johansson},
  year={2010}
}
This contribution reviews theory, algorithms, and validation results for system identification of continuous-time state-space models from finite inputoutput sequences. The algorithms developed are autoregressive methods, methods of subspace-based model identification and stochastic realization adapted to the continuous-time context. The resulting model can be decomposed into an input-output model and a stochastic innovations model. Using the Riccati equation, we have designed a procedure to… CONTINUE READING
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