Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2403.14259 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866929303240835072 |
|---|---|
| author | Rouphael, Elie Mejari, Manas Petreczky, Mihaly Belkoura, Lotfi |
| author_facet | Rouphael, Elie Mejari, Manas Petreczky, Mihaly Belkoura, Lotfi |
| contents | In this paper, we consider stochastic realization theory of Linear Switched Systems (LSS) with i.i.d. switching. We characterize minimality of stochastic LSSs and show existence and uniqueness (up to isomorphism) of minimal LSSs in innovation form. We present a realization algorithm to compute a minimal LSS in innovation form from output and input covariances. Finally, based on this realization algorithm, by replacing true covariances with empirical ones, we propose a statistically consistent system identification algorithm. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_14259 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Minimal covariance realization and system identification algorithm for a class of stochastic linear switched systems with i.i.d. switching Rouphael, Elie Mejari, Manas Petreczky, Mihaly Belkoura, Lotfi Optimization and Control In this paper, we consider stochastic realization theory of Linear Switched Systems (LSS) with i.i.d. switching. We characterize minimality of stochastic LSSs and show existence and uniqueness (up to isomorphism) of minimal LSSs in innovation form. We present a realization algorithm to compute a minimal LSS in innovation form from output and input covariances. Finally, based on this realization algorithm, by replacing true covariances with empirical ones, we propose a statistically consistent system identification algorithm. |
| title | Minimal covariance realization and system identification algorithm for a class of stochastic linear switched systems with i.i.d. switching |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2403.14259 |