Subspace Methods for System Identification

An in-depth introduction to subspace methods for system identification in discrete-time linear systems thoroughly augmented with advanced and novel results, this text is structured into three parts.

Part I deals with the mathematical preliminaries: numerical linear algebra; system theory; shastic processes; and Kalman filtering. Part II explains realization theory as applied to subspace identification. Shastic realization results based on spectral factorization and Riccati equations, and o...