Random matrix based approach to quantify the effect of measurement noise on Hankel matrix

Kumar Vishwajeet, Manoranjan Majji, Puneet Singla

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Scopus citations

Abstract

This paper focuses on the development of analytical methods for uncertainty quantification of the models obtained by the Eigensystem Realization Algorithm (ERA) to quantify the effect of noise in the input-output experimental data. Starting from first principles, analytical expressions are presented for the probability distribution of eigenvalues of the Hankel matrix by application of standard results in random matrix theory. This result naturally leads to a probabilistic method for model order determination (reduction). By application of further results from the theory of random matrices, we develop analytical expressions for the marginal probability density of eigenvalues. Numerical examples illustrate the applications of ideas presented in the paper.

Original languageEnglish (US)
Title of host publication2013 American Control Conference, ACC 2013
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages5104-5109
Number of pages6
ISBN (Print)9781479901777
DOIs
StatePublished - 2013
Event2013 1st American Control Conference, ACC 2013 - Washington, DC, United States
Duration: Jun 17 2013Jun 19 2013

Publication series

NameProceedings of the American Control Conference
ISSN (Print)0743-1619

Other

Other2013 1st American Control Conference, ACC 2013
CountryUnited States
CityWashington, DC
Period6/17/136/19/13

All Science Journal Classification (ASJC) codes

  • Electrical and Electronic Engineering

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