image thumbnail

Stochastic Subspace Realization

version 1.0.0.0 (2.18 KB) by Yi Cao
A tool to identify a state space model from stochastic signals

3.7K Downloads

Updated 02 May 2008

View License

This code provides a tool to identify a state space model from stochastic signals using a subspace approach.

The code is implemented in two steps using a nested function. The first step returns a vector of subspace singular values, from which a user can determine an appropriate order for the state space to be identified. Then by calling the nested function using the returned function handle the matrices of the state space model are obtained.

Cite As

Yi Cao (2021). Stochastic Subspace Realization (https://www.mathworks.com/matlabcentral/fileexchange/19788-stochastic-subspace-realization), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2008a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired by: Multivariable Subspace Identification: MOESP

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!