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 estimating state-space models, combining some key advantages of the two aforementioned mainstream approaches.

It starts with a least-squares estimate of a high-order ARX model, and then a multi-step least-squares procedure reduces the model to a state-space model on canoncial form.

It is demonstrated through statistical analysis that when a canonical parameterization is admissible, the proposed method is consistent and asymptotically efficient, thereby making progress on the long-standing open problem about the existence of an asymptotically efficient SIM.

Numerical and practical examples are provided to illustrate that the proposed method performs favorable in comparison with SIMs.