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; stochastic processes; and Kalman
filtering. Part II explains realization theory as applied to
subspace identification. Stochastic realization results based on
spectral factorization and Riccati equations, and on canonical
correlation analysis for stationary processes are included. Part
III demonstrates the closed-loop application of subspace
identification methods. Subspace Methods for System Identification
is an excellent reference for researchers and a useful text for
tutors and graduate students involved in control and signal
processing courses. It can be used for self-study and will be of
interest to applied scientists or engineers wishing to use advanced
methods in modeling and identification of complex systems.
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