Improved estimation performance using known linear constraints

DOI10.1016/J.AUTOMATICA.2004.03.001MaRDI QIDQ705143zbMATH OpenOpenAlexFDO

Authors Kaushik Mahata, Torsten Söderström

Publication date 26 January 2005

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2004.03.001

zbMATH Keywords

linear constraintsstatistical analysisvariable projection

Mathematics Subject Classification ID

Point estimation (62F10) Parametric inference under constraints (62F30) System identification (93B30) Estimation and detection in stochastic control theory (93E10)

Review text

The paper deals with an optimization problem that is often referred to as a nonlinear-least-squares problem in signal processing and system identification. This type of problem appears when the underlying dynamics is described by a system of differential and difference equations. The unknown boundary (or initial) conditions appear as nuisance parameters. For the class of problems that is addressed here, the boundary conditions are a priori known to satisfy a few additional linear constraints. The goal is to develop a procedure to use these additional constraints and thereby achieve better accuracy of the parameter estimates. Asymptotic accuracy expressions are derived and the approach, which exploits the constants, yields better estimates. This approach is applied in the identification of parameters of viscoelastic materials and in wave propagation experiments. Some results from numerical simulations are presented.

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Cites work

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Cited in

(8)

• New viewpoints about pseudo measurements method in equality-constrained state estimation
• Metamorphic moving horizon estimation
• Kalman filtering under unknown inputs and norm constraints
• The noise covariances of linear Gaussian systems with unknown inputs are not uniquely identifiable using autocovariance least-squares
• State estimation for linear systems with state equality constraints
• Improving parameter estimation using constrained optimization methods
• Differential constraints for bounded recursive identification with multivariate splines
• On the end-performance metric estimator selection

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