Leading impulse response identification via the elastic net criterion

DOI10.1016/J.AUTOMATICA.2017.01.011MaRDI QIDQ2407167zbMATH OpenOpenAlexFDO

Authors Carlo Novara, Giuseppe Calafiore, Michele Taragna

Publication date 28 September 2017

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1609.07029

zbMATH Keywords

\(\ell_1\) regularizationelastic netFIR identificationlassosparsity

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Abstract: This paper deals with the problem of finding a low-complexity estimate of the impulse response of a linear time-invariant discrete-time dynamic system from noise-corrupted input-output data. To this purpose, we introduce an identification criterion formed by the average (over the input perturbations) of a standard prediction error cost, plus a weighted l1 regularization term which promotes sparse solutions. While it is well known that such criteria do provide solutions with many zeros, a critical issue in our identification context is where these zeros are located, since sensible low-order models should be zero in the tail of the impulse response. The flavor of the key results in this paper is that, under quite standard assumptions (such as i.i.d. input and noise sequences and system stability), the estimate of the impulse response resulting from the proposed criterion is indeed identically zero from a certain time index (named the leading order) onwards, with arbitrarily high probability, for a sufficiently large data cardinality. Numerical experiments are reported that support the theoretical results, and comparisons are made with some other state-of-the-art methodologies.

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Cited in

(3)

• Leading impulse response identification via the elastic net criterion
• Separable multi‐innovation stochastic gradient estimation algorithm for the nonlinear dynamic responses of systems
• Decomposition strategy-based hierarchical least mean square algorithm for control systems from the impulse responses

Describes a project that uses

Uses Software

• ElemStatLearn
• LabVIEW
• Matlab
• System Identification Toolbox
• glmnet

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