Optimal input design for system identification using spectral decomposition

DOI10.1080/00207179.2018.1498597MaRDI QIDQ5221395zbMATH OpenOpenAlexFDO

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

Publication date 25 March 2020

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

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

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)

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.

Recommendations

• Optimal finite-dimensional spectral densities for the identification of continuous-time MIMO systems
• Optimal input design for continuous-time system identification
• scientific article; zbMATH DE number 492910
• Optimal design of periodic test input signals for multivariable impulse response models
• Spectral synthesis of optimal input signals for linear distributed-parameter systems identification

Cites work

• scientific article; zbMATH DE number 432498 (Why is no real title available?)
• scientific article; zbMATH DE number 3675163 (Why is no real title available?)
• scientific article; zbMATH DE number 44386 (Why is no real title available?)
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• A comparison of the determinant, maximum root, and trace optimality criteria
• Adaptive Input Design for LTI Systems
• Comments on "Optimal inputs for system identification"
• Convexity of quadratic transformations and its use in control and optimization
• Convexity properties associated with nonconvex quadratic matrix functions and applications to quadratic programming
• Dynamic system identification. Experiment design and data analysis
• Four encounters with system identification
• Identification for control of multivariable systems: controller validation and experiment design via LMIs
• Input design via LMIs admitting frequency-wise model specifications in confidence regions
• Maximization of A convex quadratic function under linear constraints
• On covariance function tests used in system identification
• On input signal synthesis in parameter identification
• On the Kalman-Yakubovich-Popov lemma
• Optimal input signals for parameter estimation in dynamic systems--Survey and new results
• Parametric identification of complex modulus
• Permanently going back and forth between the ``quadratic world and the ``convexity world in optimization
• Refined instrumental variable methods of recursive time-series analysis Part III. Extensions
• Robust optimal experiment design for system identification
• Some E-optimal block designs
• Spectral analysis of signals. The missing data case.
• Structure testing of wave propagation models used in identification of viscoelastic materials
• The Factorization of Matricial Spectral Densities

Cited in

(10)

• scientific article; zbMATH DE number 492910 (Why is no real title available?)
• Optimal input design for continuous-time system identification
• Optimal design of periodic test input signals for multivariable impulse response models
• Constrained Optimal Input Signal Design for Data-Centric Estimation Methods
• Optimal finite-dimensional spectral densities for the identification of continuous-time MIMO systems
• Optimally conditioned instrumental variable approach for frequency-domain system identification
• On input design for regularized LTI system identification: power-constrained input
• Input design for Bayesian frequency response identification via convex programming
• Unprejudiced optimal open loop input design for identification of transfer functions
• On the Performance of Optimal Input Signals for Frequency Response Estimation

Describes a project that uses

Uses Software

• CVX

This page was built for publication: Optimal input design for system identification using spectral decomposition

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5221395)