Instrumental variable methods for continuous-time model identification in closed-loop

System identification in closed-loop has been of considerable interest in the last two decades. Most of the existing methods have been developed for discrete-time models. In this paper, various instrumental variable-based methods are proposed for identifying continuous-time models of systems operating in closed-loop. The accuracy of these methods is also investigated leading to the definition of the optimal IV estimator which gives minimum variance. As this needs the exact knowledge of the noise model, it cannot be used directly in practice. Several alternatives are therefore proposed to cope with this drawback and illustrated with a simulation example.

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