标题：A Generalized Instrumental Variable Method Based on Matrix Decomposition for Simultaneous Identification of Bi-directional Paths in Closed-loop Systems
摘要：In this paper, a generalized instrumental variable (GIV) identification method based on a UD factorization is proposed for closed-loop systems with colored noise. The major characteristic of the proposed approach is that all the parameter estimates and the corresponding loss function values for both forward and backward path models with orders possibly from zero to n can be obtained simultaneously after a single step of UD factorization. The identification accuracy properties, in terms of the covariance matrix of the parameter estimates, are investigated and illustrated via simulation examples.
