System identification in the presence of outliers and random noises: a compressed sensing approach

DOI10.1016/J.AUTOMATICA.2014.10.017zbMATH Open1300.93175arXiv1207.4104OpenAlexW1978097648MaRDI QIDQ473320FDOQ473320

Authors: J. Herrera, Sumit K. Garg 

Publication date: 24 November 2014

Published in: Automatica (Search for Journal in Brave)

Abstract: In this paper, we consider robust system identification under sparse outliers and random noises. In this problem, system parameters are observed through a Toeplitz matrix. All observations are subject to random noises and a few are corrupted with outliers. We reduce this problem of system identification to a sparse error correcting problem using a Toeplitz structured real-numbered coding matrix. We prove the performance guarantee of Toeplitz structured matrix in sparse error correction. Thresholds on the percentage of correctable errors for Toeplitz structured matrices are established. When both outliers and observation noise are present, we have shown that the estimation error goes to 0 asymptotically as long as the probability density function for observation noise is not "vanishing" around 0. No probabilistic assumptions are imposed on the outliers.

Full work available at URL: https://arxiv.org/abs/1207.4104

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zbMATH Keywords

Toeplitz matrixsystem identificationleast absolute deviationcompressed sensing\(\ell_1\) minimization

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Cited In (10)

• Recovery guarantees for polynomial coefficients from weakly dependent data with outliers
• Analysis of a nonsmooth optimization approach to robust estimation
• Adaptive identification of linear systems subject to Gross errors
• Moving-horizon estimation with guaranteed robustness for discrete-time linear systems and measurements subject to outliers
• Regularized LTI system identification in the presence of outliers: a variational EM approach
• A survey on compressed sensing approach to systems and control
• Online continuous time system identification in the presence of impulsive terms
• Sparse identification of nonlinear dynamics for model predictive control in the low-data limit
• Stubborn state observers for linear time-invariant systems
• Multi-task sparse identification for closed-loop systems with general observation sequences

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