Closed-Loop Subspace Identification for Stable/Unstable Systems using Data Compression and Nuclear Norm Minimization

This paper provides a subspace method for closed-loop identification, which clearly specifies the model order from noisy measurement data. The method can handle long I/O data of the target system to be noise-tolerant and determine the model order via nuclear norm minimization. First, the proposed method compresses the long data by projecting them to an appropriate low dimensional subspace, then obtains a low order model whose order is specified by a combination of data compression and nuclear norm minimization. Its effectiveness is demonstrated through detailed numerical examples.