Parametric Identification Using Weighted Null-Space Fitting

DOI10.1109/TAC.2018.2877673zbMATH Open1482.93649arXiv1708.03946OpenAlexW2963611487WikidataQ129050579 ScholiaQ129050579MaRDI QIDQ5223792FDOQ5223792

Authors: Miguel Galrinho, Cristian R. Rojas, Håkan Hjalmarsson

Publication date: 18 July 2019

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Abstract: In identification of dynamical systems, the prediction error method using a quadratic cost function provides asymptotically efficient estimates under Gaussian noise and additional mild assumptions, but in general it requires solving a non-convex optimization problem. An alternative class of methods uses a non-parametric model as intermediate step to obtain the model of interest. Weighted null-space fitting (WNSF) belongs to this class. It is a weighted least-squares method consisting of three steps. In the first step, a high-order ARX model is estimated. In a second least-squares step, this high-order estimate is reduced to a parametric estimate. In the third step, weighted least squares is used to reduce the variance of the estimates. The method is flexible in parametrization and suitable for both open- and closed-loop data. In this paper, we show that WNSF provides estimates with the same asymptotic properties as PEM with a quadratic cost function when the model orders are chosen according to the true system. Also, simulation studies indicate that WNSF may be competitive with state-of-the-art methods.

Full work available at URL: https://arxiv.org/abs/1708.03946

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Quadratic programming (90C20) Applications of mathematical programming (90C90) Identification in stochastic control theory (93E12)

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