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arXiv · 2003.06304

Improving Linear State-Space Models with Additional Iterations

Suat Gumussoy·Ahmet Arda Ozdemir·Tomas McKelvey·Lennart Ljung·Mladen Gibanica·Rajiv Singh
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Abstract

An estimated state-space model can possibly be improved by further iterations with estimation data. This contribution specifically studies if models obtained by subspace estimation can be improved by subsequent re-estimation of the B, C, and D matrices (which involves linear estimation problems). Several tests are performed, which shows that it is generally advisable to do such further re-estimation steps using the maximum likelihood criterion. Stated more succinctly in terms of MATLAB functions, ssest generally outperforms n4sid.

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Suat Gumussoy, Ahmet Arda Ozdemir, Tomas McKelvey, Lennart Ljung, Mladen Gibanica, Rajiv Singh. 2020-03-13. Improving Linear State-Space Models with Additional Iterations. https://doi.org/10.1016/j.ifacol.2018.09.158

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