Comparison of Two Subspace Identification Methods for Combined Deterministic-Stochastic Systems

Abstract

In this paper, we analyze two subspace identification methods. The one is an N4SID-like algorithm which performs poorly in certain conditions where the past signal and future input spaces are nearly parallel. The other method, based on a preliminary orthogonal decomposition of output data space, is more robust and reliable than the first method in critical cases. Numerical results demonstrate a substantial improvement of performance in such a parallel case.