Identification of parameterized gray-box state-space systems: from a   black-box linear time-invariant representation to a structured one: detailed   derivation of the gradients involved in the cost functions
  Estimating consistent parameters of a structured state-space representation requires a reliable initialization when the vector of parameters is computed by using a gradient-based algorithm. In the eponymous companion paper accepted for publication in IEEE Transactions on Automatic Control, the problem of supplying a reliable initial vector of parameters is tackled. More precisely, by assuming that a reliable initial fully-parameterized state-space model of the system is available, the aforementioned paper addresses the challenging problem of transforming this initial fully-parameterized model into the structured state-space parameterization satisfied by the system to be identified. Two solutions to solve such a parameterization problem are more precisely introduced in the IEEE TAC paper. First, a solution based on a null-space-based reformulation of a set of equations arising from the aforementioned similarity transformation problem is considered. Second, an algorithm dedicated to non-convex optimization is presented in order to transform the initial fully-parameterized model into the structured state-space parameterization of the system to be identified. In this technical report, a specific attention is paid to the gradient computation required by the optimization algorithms used in aforementioned to solve the aforementioned problem. These gradient formulations are indeed necessary to apply the quasi-Newton Broyden-Fletcher-Goldfarb-Shanno (BFGS) methods used for the null-space based as well as the least-squares-formulated optimization techniques introduced in the IEEE TAC paper. For the sake of conciseness, we only focus on the smooth version of the optimization problem introduced in aforementioned paper. Interested readers can easily extend the following results by using the chain rule as well as the sub-gradient computation techniques. 
Guillaume Merc\`ere and Jos\'e Ramos and Olivier Prot
cs.SY