Recursive subspace identification algorithm based on objective function
基于目标函数的递推子空间辨识算法

We propose a new recursive subspace identification algorithm for online estimating the system parameters in practical engineering. By introducing the instrumental variable, we convert this problem into a recursive minimization problem of an objective function. The recursive least square algorithm is employed to estimate the parameters, then the propagator method is developed to update the extended observability matrix; and the system matrices are finally computed. The proposed method is simple and effective and is improved to be robust to the uncertainty in initial values. The efficiency of this method is illustrated with a simulation example.