CONSTRUCTING THE STATE OF RANDOM PROCESSES WITH FEEDBACK

摘要

Subspace identification, is based on state space construction, i.e. stochastic realization theory. However state space construction in the presence of feedback is still an open problem. In this paper we provide a geometric construction based on a oblique predictor space which yields a bona-fide (stationary) state space in the presence of feedback, if the open loop transfer functions of the system satisfy certain stability conditions.