Global optimization for low-dimensional switching linear regression and bounded-error estimation

DOI10.1016/J.AUTOMATICA.2017.11.026zbMATH Open1387.93167arXiv1707.05533OpenAlexW2963722933MaRDI QIDQ1640233FDOQ1640233

Authors: Fabien Lauer 

Publication date: 14 June 2018

Published in: Automatica (Search for Journal in Brave)

Abstract: The paper provides global optimization algorithms for two particularly difficult nonconvex problems raised by hybrid system identification: switching linear regression and bounded-error estimation. While most works focus on local optimization heuristics without global optimality guarantees or with guarantees valid only under restrictive conditions, the proposed approach always yields a solution with a certificate of global optimality. This approach relies on a branch-and-bound strategy for which we devise lower bounds that can be efficiently computed. In order to obtain scalable algorithms with respect to the number of data, we directly optimize the model parameters in a continuous optimization setting without involving integer variables. Numerical experiments show that the proposed algorithms offer a higher accuracy than convex relaxations with a reasonable computational burden for hybrid system identification. In addition, we discuss how bounded-error estimation is related to robust estimation in the presence of outliers and exact recovery under sparse noise, for which we also obtain promising numerical results.

Full work available at URL: https://arxiv.org/abs/1707.05533

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zbMATH Keywords

global optimizationrobust estimationsystem identificationswitched systems

Mathematics Subject Classification ID

Stochastic programming (90C15) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Optimal stochastic control (93E20)

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Cited In (2)

• Persistence of excitation for identifying switched linear systems
• Estimating the probability of success of a simple algorithm for switched linear regression

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