A new algorithm for identification of a balanced state space representation is proposed. It is based on a procedure for estimation of the impulse response and sequential zero input responses directly from data. The proposed algorithm is more efficient than the existing alternatives that compute the whole Hankel matrix of Markov parameters. It is shown that the computations can be performed on Hankel matrices of the input-output data of various dimensions. By choosing wider matrices, we need persistency of excitation of smaller order. Moreover, this leads to computational savings and improved statistical accuracy when the data is noisy. Using a finite amount of input-output data, the existing algorithms compute finite time balanced representation and the identified models have a lower bound on the distance to an exact balanced representation. The proposed algorithm can approximate arbitrarily closely an exact balanced representation. Moreover, the finite time balancing parameter can be selected automatically by monitoring the decay of the impulse response.
Co-ordinator(s): Bart
De Moor, Jan
Willems
Researcher(s):