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Zbl 1153.93520
Gevers, Michel; Ljung, Lennart; Van den Hof, Paul
Asymptotic variance expressions for closed-loop identification. (English)
[J] Automatica 37, No. 5, 781-786 (2001). ISSN 0005-1098

Asymptotic variance expressions are analyzed for models that are identified on the basis of closed-loop data. The considered methods comprise the classical ``direct'' method, as well as the more recently developed indirect methods, employing coprime factorized models, dual Youla/Kucera parametrizations and the two-stage approach. The variance expressions are compared with the open-loop situation, and evaluated in terms of their relevance for subsequent model-based control design.

MSC 2000:: *93E12 System identification (stochastic systems)
93B51 Design techniques in systems theory
93E10 Estimation and detection in stochastic control

Keywords: System identification; Closed-loop identification; Asymptotic variance expressions, Prediction error methods; Model-based control design

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Zentralblatt MATH Berlin [Germany]