Application of structured total least squares for system identification and model reduction

Markovsky, I., Willems, J. C., Van Huffel, S., De Moor, B. and Pintelon, R., Ljung, L. (eds.) (2005) Application of structured total least squares for system identification and model reduction. IEEE Transactions on Automatic Control, 50, (10), 1490-1500.


[img] PDF - Accepted Manuscript
Download (574Kb)
[img] PDF (Answer to the reviewers) - Supplemental Material
Download (38Kb)


The following identification problem is considered: minimize the l2 norm of the difference between a given time series and an approximating one under the constraint that the approximating time series is a trajectory of a linear time invariant system of a fixed complexity. The complexity is measured by the input dimension and the maximum lag. The problem is known as the global total least squares and alternatively can be viewed as maximum likelihood identification in the errors-in-variables setup. Multiple time series and latent variables can be considered in the same setting. Special cases of the problem are autonomous system identification, noisy realization, and finite time optimal l2 model reduction. The identification problem is related to the structured total least squares problem. The paper presents an efficient software package that implements the theory in practice. The proposed method and software are tested on data sets from the database for the identification of systems DAISY.

Item Type: Article
Related URLs:
Keywords: Errors-in-variables, system identification, model reduction, structured total least squares, numerical software, DAISY, MPUM.
Divisions : Faculty of Physical Sciences and Engineering > Electronics and Computer Science > Southampton Wireless Group
ePrint ID: 263300
Accepted Date and Publication Date:
Date Deposited: 06 Jan 2007
Last Modified: 31 Mar 2016 14:07
Further Information:Google Scholar

Actions (login required)

View Item View Item

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics