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Publications in Scientific Journals:

D. Bauer, L Ljung:
"Some facts about the choice of the weighting matrices in Larimore type of subspace algorithms";
Automatica, 38 (2002), 763 - 773.



English abstract:
In this paper the effect of some weighting matrices on the asymptotic variance
of the estimates
of linear discrete time state space systems estimated using
subspace methods is investigated.
The analysis deals with systems with white or without observed inputs and refers to the
Larimore type of subspace procedures. The main result expresses the asymptotic variance of the system
matrix estimates in canonical form as a function of some of the user choices, clarifying the
question on how to choose them optimally. It is shown, that the CCA weighting scheme leads to
optimal accuracy. The expressions for the asymptotic variance can be implemented
more efficiently as compared to the ones previously published.

Created from the Publication Database of the Vienna University of Technology.