COSMIC — LTV state-space identification

COSMIC (Carvalho et al., 2022) is the regularized least-squares algorithm behind every ltv_disc* function. It identifies discrete-time LTV state space matrices A(k), B(k) from state and input trajectories — or, in its output-only variant, from output measurements alone — in O(N) time via a block-tridiagonal solver.

Entry points

• ltv_disc / sidLTVdisc — full-state observation
• ltv_disc_io / sidLTVdiscIO — partial-observation (Output-COSMIC)
• ltv_disc_tune / sidLTVdiscTune — automatic regularization tuning
• ltv_disc_frozen / sidLTVdiscFrozen — frozen transfer functions G(ω, k)

Derivations

• Automatic tuning
• Online recursion
• Output-COSMIC
• Uncertainty derivation