We examine the related nature of two identification algorithms, subspace identification (SID) and Dynamic Mode Decomposition (DMD), and their correctness properties over a broad range of problems. This investigation begins by noting the strong relationship between the two algorithms, both drawing significantly on the pseudoinverse calculation using singular value decomposition, and ultimately revealing that DMD can be viewed as a substep of SID. We then perform extensive computational studies, characterizing the performance of SID on problems of various model orders and noise levels. Specifically, we generate 10,000 random systems for each model order and noise level, calculating the average identification error for each case, and then repeat the entire experiment to ensure the results are, in fact, consistent. The results both quantify the intrinsic algorithmic error at zero-noise, monotonically increasing with model complexity, as well as demonstrate an asymptotically linear degradation to noise intensity, at least for the range under study. Finally, we close by demonstrating DMD's ability to recover system matrices, because its access to full state measurements makes them identifiable. SID, on the other hand, can't possibly hope to recover the original system matrices, due to their fundamental unidentifiability from input-output data. This is true even when SID delivers excellent performance identifying a correct set of equivalent system matrices.
College and Department
Physical and Mathematical Sciences; Computer Science
BYU ScholarsArchive Citation
Neff, Samuel Gregory, "Characterizing Equivalence and Correctness Properties of Dynamic Mode Decomposition and Subspace Identification Algorithms" (2022). Theses and Dissertations. 9460.
Subspace Identification, Dynamic Mode Decomposition, State Space Model