On embeddings and inverse embeddings of input design for regularized system identification
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Publication:2103641
DOI10.1016/J.AUTOMATICA.2022.110673zbMATH Open1505.93047arXiv2209.13152OpenAlexW4308266464MaRDI QIDQ2103641FDOQ2103641
Publication date: 9 December 2022
Published in: Automatica (Search for Journal in Brave)
Abstract: Input design is an important problem for system identification and has been well studied for the classical system identification, i.e., the maximum likelihood/prediction error method. For the emerging regularized system identification, the study on input design has just started, and it is often formulated as a non-convex optimization problem that minimizes a scalar measure of the Bayesian mean squared error matrix subject to certain constraints, and the state-of-art method is the so-called quadratic mapping and inverse embedding (QMIE) method, where a time domain inverse embedding (TDIE) is proposed to find the inverse of the quadratic mapping. In this paper, we report some new results on the embeddings/inverse embeddings of the QMIE method. Firstly, we present a general result on the frequency domain inverse embedding (FDIE) that is to find the inverse of the quadratic mapping described by the discrete-time Fourier transform. Then we show the relation between the TDIE and the FDIE from a graph signal processing perspective. Finally, motivated by this perspective, we further propose a graph induced embedding and its inverse, which include the previously introduced embeddings as special cases. This deepens the understanding of input design from a new viewpoint beyond the real domain and the frequency domain viewpoints.
Full work available at URL: https://arxiv.org/abs/2209.13152
input designdiscrete-time Fourier transformgraph signal processinginverse embeddingregularized system identification
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