Random matrix-based approach for uncertainty analysis of the eigensystem realization algorithm

Kumar Vishwajeet, Puneet Singla, Manoranjan Majji

Research output: Contribution to journalArticle

Abstract

In this paper, uncertainty in the state space matrices in a linear stochastic time-invariant discrete time system is presented by performing uncertainty analysis of the eigensystem realization algorithm (ERA). An analytical expression for the calculation of the singular values of Hankel matrix is developed. The expression for the joint distribution of the singular values is used to estimate the rank of the Hankel matrix. The distribution of singular values is also used to find the distribution on the bound of norm of system matrix.

Original languageEnglish (US)
Pages (from-to)1877-1891
Number of pages15
JournalJournal of Guidance, Control, and Dynamics
Volume40
Issue number8
DOIs
StatePublished - Jan 1 2017

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Uncertainty Analysis
Uncertainty analysis
uncertainty analysis
Singular Values
Random Matrices
Hankel Matrix
matrix
matrices
Discrete-time Systems
Joint Distribution
State Space
norms
Norm
Uncertainty
Invariant
Estimate
estimates
distribution

All Science Journal Classification (ASJC) codes

  • Control and Systems Engineering
  • Aerospace Engineering
  • Space and Planetary Science
  • Electrical and Electronic Engineering
  • Applied Mathematics

Cite this

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Random matrix-based approach for uncertainty analysis of the eigensystem realization algorithm. / Vishwajeet, Kumar; Singla, Puneet; Majji, Manoranjan.

In: Journal of Guidance, Control, and Dynamics, Vol. 40, No. 8, 01.01.2017, p. 1877-1891.

Research output: Contribution to journalArticle

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