Abstract
In this paper the problem of identifying noisy input-output systems is studied. The paper revisits the Koopmans-Levin (KL) method by investigating its sensitivity with respect to the ratio between the variances of the input noise and the output noise. In particular, the sensitivity analysis suggests that the assumption of the given noise variance ratio can be relaxed to that of a rough range of this ratio. Thus the practical applicability of the KL method is greatly extended. Computer simulations confirm the theoretical predictions.
| Original language | English |
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| Title of host publication | Proceedings of the 41st IEEE Conference on Decision and Control, December 10-13, 2002 at the Venetian Hotel, Las Vegas, Nevada, USA |
| Publisher | IEEE Press |
| Number of pages | 2 |
| ISBN (Print) | 0780375165 |
| Publication status | Published - 2002 |
| Event | IEEE Conference on Decision and Control - Duration: 12 Dec 2017 → … |
Conference
| Conference | IEEE Conference on Decision and Control |
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| Period | 12/12/17 → … |
Keywords
- parameter estimation
- linear systems
- stochastic systems
- noise
- digital computer simulation
- Koopmans-Levin method