Abstract
In this paper, we consider a subspace model identification for closed-loop systems based on stochastic realization approach. At first, by the joint input-output method the closed-loop identification problem is reformulated to an open-loop one, which can be solved by the recently proposed realization based subspace method ([3]). Then an effective model reduction step is adopted to obtain a plant model of the original system order from the estimated higher-order model, which is possibly unstable. We include two numerical examples to illustrate the effectiveness of the proposed method.
