Identification of a discrete-time dynamical system

A novel generalized minimum variance (GMV) system identification algorithm is developed, and its performance is gauged against the established generalized least squares (GLS) estimation algorithm. The emphasis of the proposed GMV algorithm is on the rigorous treatment of measurement noise for dynamical system identification. A careful analysis of the measurement situation on hand yields a novel fixed-point calculation-based parameter estimation algorithm. The novel and established algorithms are compared in carefully performed and reproducible experiments which include measurement noise. Differences are apparent under small (measurement) sample operation, whereas under sufficient excitation, the algorithms produce statistically similar results