Derivation of Recursive Relations in Markov Parameter for the Closed-Loop Identification

This paper presents a closed loop identification algorithm in time domain. This algorithm can be used for identification of unstable system and for model validation of system which is difficult to derive analytical model. In time domain, projection filter, which projects a finite number of input output data of a system into its current space, is used to relate the state space model with a finite difference model. Then recursive relations between the Markov parameters and the ARX model coefficients are derived to identify the system, controller and Kalman filter Markov parameters recursively, which are finally used to identify the system, controller and Kalman filter gains. The NASA LAMSTF is used to validate the algorithms developed.