When you estimate state-space models, you can specify how the algorithm treats initial states. This information supports the estimation procedures Estimate State-Space Models in System Identification App and Estimate State-Space Models at the Command Line.
In the System Identification app, set Initial state to one of the following options:
Auto — Automatically
chooses Zero, Estimate,
or Backcast based on the estimation data.
If initial states have negligible effect on the prediction errors,
the initial states are set to zero to optimize algorithm performance.
Zero — Sets all
initial states to zero.
Estimate — Treats
the initial states as an unknown vector of parameters and estimates
these states from the data.
Backcast — Estimates
initial states using a backward filtering method (least-squares fit).
At the command line, specify the method
for handling initial states using the InitialState estimation
option. For example, to estimate a fourth-order state-space model
and set the initial states to be estimated from the data:
opt = ssestOptions('InitialState','estimate'); m = ssest(data,4,opt)
For a complete list of values for the InitialState model
property, see the ssestOptions, n4sidOptions and ssregestOptions reference
pages.
Note
For the n4sid algorithm, 'auto' and 'backcast' are
equivalent to 'estimate'.