Least-Squares Parameter Estimation for State-Space Models with State Equality Constraints
This work provides a methodological solution for practitioners who need to enforce known state constraints in system identification, though it is an incremental extension of existing least-squares techniques.
This paper addresses the problem of incorporating state equality constraints into least-squares estimation of state-space models. It reformulates the constraints as equality constraints on state matrices and vectorizes the problem to enable standard equality-constrained least squares methods, handling both time-invariant and time-varying cases.
If a dynamic system has active constraints on the state vector and they are known, then taking them into account during modeling is often advantageous. Unfortunately, in the constrained discrete-time state-space estimation, the state equality constraint is defined for a parameter matrix and not on a parameter vector as commonly found in regression problems. To address this problem, firstly, we show how to rewrite the state equality constraints as equality constraints on the state matrices to be estimated. Then, we vectorize the matricial least squares problem defined for modeling state-space systems such that any method from the equality-constrained least squares framework may be employed. Both time-invariant and time-varying cases are considered as well as the case where the state equality constraint is not exactly known.