Tootfinder

Bridging the Prediction Error Method and Subspace Identification: A Weighted Null Space Fitting Method
Jiabao He, S. Joe Qin, H\r{a}kan Hjalmarsson
https://arxiv.org/abs/2510.02529

Bridging the Prediction Error Method and Subspace Identification: A Weighted Null Space Fitting Method
Subspace identification methods (SIMs) have proven to be very useful and numerically robust for building state-space models. While most SIMs are consistent, few if any can achieve the efficiency of the maximum likelihood estimate (MLE). Conversely, the prediction error method (PEM) with a quadratic criteria is equivalent to MLE, but it comes with non-convex optimization problems and requires good initialization points. This contribution proposes a weighted null space fitting (WNSF) approach for…