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
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
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)