Optimal input design for system identification using spectral decomposition

DOI10.1080/00207179.2018.1498597zbMATH Open1436.93034arXiv1706.03982OpenAlexW2964252498MaRDI QIDQ5221395FDOQ5221395

Authors: Shravan Mohan, I. M. Mithun, Bharath Bhikkaji 

Publication date: 25 March 2020

Published in: International Journal of Control (Search for Journal in Brave)

Abstract: The aim of this paper is to design a band-limited optimal input with power constraints for identifying a linear multi-input multi-output system. It is assumed that the nominal system parameters are specified. The key idea is to use the spectral decomposition theorem and write the power spectrum as $ph{i}_u(jomega)=frac12H(jomega)H^{\ast }(jomega)$. The matrix $H(jomega)$ is expressed in terms of a truncated basis for $mathcal{L}^{2}left(left[-omeg{a}_{mboxcut-off},omeg{a}_{mboxcut-off}ight]ight)$. With this parameterization, the elements of the Fisher Information Matrix and the power constraints turn out to be homogeneous quadratics in the basis coefficients. The optimality criterion used are the well-known $mathcalD-$optimality, $mathcalA-$optimality, $mathcalT-$optimality and $mathcalE-$optimality. The resulting optimization problem is non-convex in general. A lower bound on the optimum is obtained through a bi-linear formulation of the problem, while an upper bound is obtained through a convex relaxation. These bounds can be computed efficiently as the associated problems are convex. The lower bound is used as a sub-optimal solution, the sub-optimality of which is determined by the difference in the bounds. Interestingly, the bounds match in many instances and thus, the global optimum is achieved. A discussion on the non-convexity of the optimization problem is also presented. Simulations are provided for corroboration.

Full work available at URL: https://arxiv.org/abs/1706.03982

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zbMATH Keywords

Fisher information matrixsystem identificationspectral decompositionoptimal input designconvex optimisation

Mathematics Subject Classification ID

System identification (93B30) Linear systems in control theory (93C05) Multivariable systems, multidimensional control systems (93C35)

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Cited In (10)

• Constrained Optimal Input Signal Design for Data-Centric Estimation Methods
• Optimal design of periodic test input signals for multivariable impulse response models
• Optimally conditioned instrumental variable approach for frequency-domain system identification
• Optimal finite-dimensional spectral densities for the identification of continuous-time MIMO systems
• Unprejudiced optimal open loop input design for identification of transfer functions
• On input design for regularized LTI system identification: power-constrained input
• Title not available (Why is that?)
• Input design for Bayesian frequency response identification via convex programming
• On the Performance of Optimal Input Signals for Frequency Response Estimation
• Optimal input design for continuous-time system identification

Uses Software

• CVX

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