Implementation of algorithms for tuning parameters in regularized least squares problems in system identification

DOI10.1016/j.automatica.2013.03.030zbMath1364.93825OpenAlexW2163204284WikidataQ59591812 ScholiaQ59591812MaRDI QIDQ2356683

Lennart Ljung, Tianshi Chen

Publication date: 6 June 2017

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2013.03.030

zbMATH Keywords

regularizationleast squaresQR factorizationempirical Bayes methodmarginal likelihood maximization

Mathematics Subject Classification ID

Factorization of matrices (15A23) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Least squares and related methods for stochastic control systems (93E24) Identification in stochastic control theory (93E12)

Related Items (18)

The noise covariances of linear Gaussian systems with unknown inputs are not uniquely identifiable using autocovariance least-squares ⋮ On kernel design for regularized LTI system identification ⋮ Decomposition based least squares iterative estimation algorithm for two-input single-output output error systems ⋮ On semiseparable kernels and efficient implementation for regularized system identification and function estimation ⋮ On the regularization and optimization in quantum detector tomography ⋮ Inverse linear-quadratic discrete-time finite-horizon optimal control for indistinguishable homogeneous agents: a convex optimization approach ⋮ Kernel methods in system identification, machine learning and function estimation: a survey ⋮ The quest for the right kernel in Bayesian impulse response identification: the use of OBFs ⋮ Regularized LTI system identification in the presence of outliers: a variational EM approach ⋮ Gaussian process regression for the estimation of generalized frequency response functions ⋮ On convexification of system identification criteria ⋮ The harmonic analysis of kernel functions ⋮ A shift in paradigm for system identification ⋮ Nonparametric identification of Kronecker networks ⋮ A Scaled Gradient Projection Method for Bayesian Learning in Dynamical Systems ⋮ An efficient implementation for spatial-temporal Gaussian process regression and its applications ⋮ Maximum entropy properties of discrete-time first-order stable spline kernel ⋮ Robust EM kernel-based methods for linear system identification

Uses Software

• System Identification Toolbox

Cites Work

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• Additive regularization trade-off: fusion of training and validation levels in kernel methods
• Quantifying the error in estimated transfer functions with application to model order selection
• Linear Statistical Inference and its Applications

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