Optimality of central and projection algorithms for bounded uncertainty
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The authors study the optimality in the sense of Traub and Wozniakowski [see \textit{J. F. Traub} and \textit{H. Wozniakowski}, A general theory of optimal algorithms (1980; Zbl 0441.68046)] of central and projection algorithms for identification of linear systems subject to a norm-bounded noise. It is shown that the least squares algorithms are strongly optimal, while other projection algorithms such as least-absolute-value and minimax algorithms do not possess this property.
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Cited in
(21)- Maximum likelihood estimators and worst case optimal algorithms for system identification
- Conditionally optimal algorithms and estimation of reduced order models
- Optimal estimation theory for dynamic systems with set membership uncertainty: An overview
- Reliability of projection algorithms in conditional estimation
- A novel approach to robust parameter estimation using neurofuzzy systems
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- Model quality evaluation in set membership identification
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- Worst-case control-relevant identification
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