Subspace Methods for System Identification

Tohru Katayama received B.E., M.E. and Ph.D. degrees in applied mathematics and physics, from Kyoto University, in 1964, 1966 and 1969, respectively. Since 1986, he has been Professor at the Department of Applied Mathematics and Physics, Kyoto University, and had visiting positions at UCLA and the University of Padova. His main research interests include statistical estimation theory, Kalman filtering, spectral factorization, stochastic realization, system identification, and modeling and control of industrial processes, in which areas he has published over 100 papers, six books in Japanese, and edited a book on control and signal processing. Professor Katayama has been an Associate Editor of IEEE Transactions on Automatic Control from 1996 to 1998, and a Subject Editor of Journal of Nonlinear and Robust Control for the last 10 years. He is a Fellow of the Society of Instrumentation and Control Engineers, Japan, is a past Chair of the IFAC Technical Committee on Stochastic Systems and is now the Chair of the IFAC Coordinating Committee on Systems and Signals for 2002-2005.

• Preliminaries.- Linear Algebra and Preliminaries.- Discrete-Time Linear Systems.- Stochastic Processes.- Kalman Filter.- Realization Theory.- Realization of Deterministic Systems.- Stochastic Realization Theory (1).- Stochastic Realization Theory (2).- Subspace Identification.- Subspace Identification (1) — ORT.- Subspace Identification (2) — CCA.- Identification of Closed-loop System.

From the reviews: "The book is devoted to subspace methods used for system identification. ... The book contains also some tutorial problems with solutions and MATLAB programs, which demonstrate various aspects of the methods propounded to introductory and research material. Therefore it may be a valuable reference for researches as well, a very useful text for tutors and graduate students involved with courses in control and signal processing. The book is clearly written and well organized." (Ryszard Gessing, Zentralblatt MATH, Vol. 1118 (20), 2007) "Subspace identification methods have become a major tool in system identification during the last decades. ... The book is written in a systematic way and generally easy to follow. The ideas are presented in a systematic and coherent manner. ... the monograph is suited for researchers, practitioners and graduate students, in particular from an (systems) engineering community. It provides an excellent reference book for realization theory and linear systems." (Wolfgang Scherrer, International Journal of Robust and Nonlinear Control, Vol. 18, 2008)