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On the structure of state-space models for discrete-time stochastic vector processes

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2 Author(s)
Lindquist, A. ; Royal Institute of Technology, Stockholm, Sweden ; Pavon, M.

From a conceptual point of view, structural properties of linear stochastic systems are best understood in a geometric formulation which factors out the effects of the choice of coordinates. In this paper we study the structure of discrete-time linear systems with stationary inputs in the geometric framework of splitting subspaces set up in the work by Lindquist and Picci. In addition to modifying some of the realization results of this work to the discrete-time setting, we consider some problems which are unique to the discrete-time setting. These include the relations between models with and without noise in the observation channel, and certain degeneracies which do not occur in the continuous-time case. One type of degeneracy is related to the singularity of the state transition matrix, another to the rank of the observation noise and invariant directions of the matrix Riccati equation of Kalman filtering. We determine to what extent these degeneracies are properties of the output process. The geometric framework also accommodates infinite-dimensional state spaces, and therefore the analysis is not limited to finite-dimensional systems.

Published in:

Automatic Control, IEEE Transactions on  (Volume:29 ,  Issue: 5 )

Date of Publication:

May 1984

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