Recursive subspace identification based on instrumental variable unconstrained quadratic optimization

The problem of the recursive formulation of the MOESP class of subspace identification algorithms is considered and two novel instrumental variable approaches are introduced. The first one leads to an RLS-like implementation, the second to a gradient type iteration. The relative merits of both approaches are analysed and discussed, while simulation results are used to compare their performance with one of the existing techniques. Copyright (C) 2004 John Wiley Sons, Ltd.