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sident
discrete-time state-space realization and Kalman gain
Syntax
[[A,C][,B[,D]][,K,Q,Ry,S][,rcnd]] = sident(meth,job,s,n,l,R[,tol,t,Ai,Ci,printw])
Arguments
- meth
integer option to determine the method to use:
- =
1 : MOESP method with past inputs and outputs;
- =
2 : N4SID method;
- =
3 : combined method: A and C via MOESP, B and D via N4SID.
- job
integer option to determine the calculation to be performed:
- =
1 : compute all system matrices, A, B, C, D;
- =
2 : compute the matrices A and C only;
- =
3 : compute the matrix B only;
- =
4 : compute the matrices B and D only.
- s
the number of block rows in the processed input and output block Hankel matrices. s > 0.
- n
integer, the order of the system
- l
integer, the number of the system outputs
- R
the 2*(m+l)*s-by-2*(m+l)*s part of R contains the processed upper triangular factor R from the QR factorization of the concatenated block-Hankel matrices, and further details needed for computing system matrices.
- tol
(optional) tolerance used for estimating the rank of matrices. If tol > 0, then the given value of tol is used as a lower bound for the reciprocal condition number; an m-by-n matrix whose estimated condition number is less than 1/tol is considered to be of full rank. Default: m*n*epsilon_machine where epsilon_machine is the relative machine precision.
- t
(optional) the total number of samples used for calculating the covariance matrices. Either t = 0, or t >= 2*(m+l)*s. This parameter is not needed if the covariance matrices and/or the Kalman predictor gain matrix are not desired. If t = 0, then K, Q, Ry, and S are not computed. Default: t = 0.
- Ai
real matrix
- Ci
real matrix
- printw
(optional) switch for printing the warning messages.
- =
1: print warning messages;
- =
0: do not print warning messages.
Default: printw = 0.
- A
real matrix
- C
real matrix
- B
real matrix
- D
real matrix
- K
real matrix, kalman gain
- Q
(optional) the n-by-n positive semidefinite state covariance matrix used as state weighting matrix when computing the Kalman gain.
- RY
(optional) the l-by-l positive (semi)definite output covariance matrix used as output weighting matrix when computing the Kalman gain.
- S
(optional) the n-by-l state-output cross-covariance matrix used as cross-weighting matrix when computing the Kalman gain.
- rcnd
(optional) vector of length lr, containing estimates of the reciprocal condition numbers of the matrices involved in rank decisions, least squares, or Riccati equation solutions, where lr = 4, if Kalman gain matrix K is not required, and lr = 12, if Kalman gain matrix K is required.
Description
SIDENT function for computing a discrete-time state-space realization (A,B,C,D) and Kalman gain K using SLICOT routine IB01BD.
[A,C,B,D] = sident(meth,1,s,n,l,R) [A,C,B,D,K,Q,Ry,S,rcnd] = sident(meth,1,s,n,l,R,tol,t) [A,C] = sident(meth,2,s,n,l,R) B = sident(meth,3,s,n,l,R,tol,0,Ai,Ci) [B,K,Q,Ry,S,rcnd] = sident(meth,3,s,n,l,R,tol,t,Ai,Ci) [B,D] = sident(meth,4,s,n,l,R,tol,0,Ai,Ci) [B,D,K,Q,Ry,S,rcnd] = sident(meth,4,s,n,l,R,tol,t,Ai,Ci)
SIDENT computes a state-space realization (A,B,C,D) and the Kalman predictor gain K of a discrete-time system, given the system order and the relevant part of the R factor of the concatenated block-Hankel matrices, using subspace identification techniques (MOESP, N4SID, or their combination).
The model structure is :
x(k+1) = Ax(k) + Bu(k) + Ke(k), k >= 1, y(k) = Cx(k) + Du(k) + e(k),
where x(k) is the n-dimensional state vector (at time k),
u(k) is the m-dimensional input vector,
y(k) is the l-dimensional output vector,
e(k) is the l-dimensional disturbance vector,
and A, B, C, D, and K are real matrices of appropriate dimensions.
Comments
1. The n-by-n system state matrix A, and the p-by-n system output matrix C are computed for job <= 2.
2. The n-by-m system input matrix B is computed for job <> 2.
3. The l-by-m system matrix D is computed for job = 1 or 4.
4. The n-by-l Kalman predictor gain matrix K and the covariance matrices Q, Ry, and S are computed for t > 0.
Examples
//generate data from a given linear system A = [ 0.5, 0.1,-0.1, 0.2; 0.1, 0, -0.1,-0.1; -0.4,-0.6,-0.7,-0.1; 0.8, 0, -0.6,-0.6]; B = [0.8;0.1;1;-1]; C = [1 2 -1 0]; SYS=syslin(0.1,A,B,C); nsmp=100; U=prbs_a(nsmp,nsmp/5); Y=(flts(U,SYS)+0.3*rand(1,nsmp,'normal')); S = 15; N = 3; METH=1; [R,N1] = findR(S,Y',U',METH); [A,C,B,D,K] = sident(METH,1,S,N,1,R); SYS1=syslin(1,A,B,C,D); SYS1.X0 = inistate(SYS1,Y',U'); Y1=flts(U,SYS1); clf();plot2d((1:nsmp)',[Y',Y1']) METH = 2; [R,N1,SVAL] = findR(S,Y',U',METH); tol = 0; t = size(U',1)-2*S+1; [A,C,B,D,K] = sident(METH,1,S,N,1,R,tol,t) SYS1=syslin(1,A,B,C,D) SYS1.X0 = inistate(SYS1,Y',U'); Y1=flts(U,SYS1); clf();plot2d((1:nsmp)',[Y',Y1'])
See also
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