Parameter estimation in linear static systems based on weighted least absolute value estimation

DOI10.1007/BF00962801MaRDI QIDQ1102917zbMATH OpenOpenAlexFDO

Authors S. A. Soliman, G. S. Christensen

Publication date 1989

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00962801

zbMATH Keywords

least absolute valueleast square estimationparameter vectortime-invariant

Mathematics Subject Classification ID

Numerical solutions to overdetermined systems, pseudoinverses (65F20) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Review text

We present a new method for estimating a parameter vector of which measurements are carried out; however, these measurements are subjected to noise. First, we briefly consider least square estimation of such vector to obtain some well-known results. Then, we proceed to formulate the problem in the least absolute value (LAV) sense and show that we can obtain a set of overdetermined equations for the components of the unknown vector. These equations are solved using the least square approach to ascertain which points give the least residuals. Having gained that information, we set to zero a number of residuals equal to the rank of the matrix H. Let this rank be k; then, the number of points which satisfy the LAV solution identically is k; this is a requirement that the LAV solution must satisfy [see, \textit{W. W. Kotiuga} and \textit{M. Vidyasagar}, IEEE Trans. Power Apparatus Syst. PAS-101, No.4, 844-853 (1982); and \textit{I. Barrodale} and \textit{F. D. K. Roberts}, SIAM J. Numer. Anal. 15, 603-611 (1978; Zbl 0387.65027)]. Several examples are presented in the paper.

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Cites work

• An Efficient Algorithm for Discrete $l_1$ Linear Approximation with Linear Constraints
• An Improved Algorithm for Discrete l₁ Linear Approximation
• scientific article; zbMATH DE number 4089457 (Why is no real title available?)
• scientific article; zbMATH DE number 4091389 (Why is no real title available?)
• Stochastic models, estimation, and control. Vol. 1

Cited in

(7)

• New technique for linear static state estimation based on weighted least absolute value approximations
• New algorithm for optimal parameter estimation with linear constraints
• A new algorithm for nonlinear \(L_ 1\)-norm minimization with nonlinear equality constraints
• An example showing that a new technique for LAV estimation breaks down in certain cases
• Least absolute values estimation: computational aspects
• Optimal filtering of linear discrete dynamic systems based on least absolute value approximations
• Optimization of control setting and size of shunt capacitors on distribution feeders

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