Least-squares parameter estimation for statespace models with state equality constraints.

Abstract

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 vectorise the matricial least squares problem defined for modeling statespace 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.