Approximation of nonnegative systems by moving averages of fixed order

DOI10.1016/J.AUTOMATICA.2019.05.007MaRDI QIDQ2280796zbMATH OpenOpenAlexWikidataFDO

Authors Lorenzo Finesso, Peter Spreij

Publication date 19 December 2019

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1810.10135

zbMATH Keywords

consistencyestimationpositive systemmoving averageinformational divergence

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Realizations from input-output data (93B15) Positive control/observation systems (93C28)

Abstract: We pose the approximation problem for scalar nonnegative input-output systems via impulse response convolutions of finite order, i.e. finite order moving averages, based on repeated observations of input/output signal pairs. The problem is converted into a nonnegative matrix factorization with special structure for which we use Csisz'ar's I-divergence as the criterion of optimality. Conditions are given, on the input/output data, that guarantee the existence and uniqueness of the minimum. We propose an algorithm of the alternating minimization type for I-divergence minimization, and present its asymptotic behavior. For the case of noisy observations we give the large sample properties of the statistical version of the minimization problem for different observation regimes. Numerical experiments confirm the asymptotic results and exhibit fast convergence of the proposed algorithm.

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Cited in

(2)

• Approximation of Nonnegative Systems by Finite Impulse Response Convolutions
• Synchronous deautoconvolution algorithm for discrete-time positive signals via \(\mathcal{I}\)-divergence approximation

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