Non-asymptotic state-space identification of closed-loop stochastic linear systems using instrumental variables
From MaRDI portal
Publication:6137801
Abstract: The paper suggests a generalization of the Sign-Perturbed Sums (SPS) finite sample system identification method for the identification of closed-loop observable stochastic linear systems in state space form. The solution builds on the theory of matrix-variate regression and instrumental variable methods to construct distribution-free confidence regions for the state space matrices. Both direct and indirect identification are studied, and the exactness as well as the strong consistency of the construction are proved. Furthermore, a new, computationally efficient ellipsoidal outer-approximation algorithm for the confidence regions is proposed. The new construction results in a semidefinite optimization problem which has an order-of-magnitude smaller number of constraints, as if one applied the ellipsoidal outer-approximation after vectorization. The effectiveness of the approach is also demonstrated empirically via a series of numerical experiments.
Recommendations
- Identification of non-linear stochastic systems by state dependent parameter estimation
- Instrumental variable methods for closed-loop system identification
- A General Framework for Nonparametric Identification of Nonlinear Stochastic Systems
- Closed-loop persistent identification of linear systems with unmodeled dynamics and stochastic disturbances
- Closed-loop system identification with recursive modifications of the instrumental variable method
- Identification of continuous-time linear dynamic stochastic systems
- Closed-loop system identification with modifications of the instrumental variable method
- scientific article; zbMATH DE number 227381
- Nonparametric identification of linear dynamic errors-in-variables systems
- On noncausal weighted least squares identification of nonstationary stochastic systems
Cites work
- scientific article; zbMATH DE number 1001726 (Why is no real title available?)
- scientific article; zbMATH DE number 4160608 (Why is no real title available?)
- scientific article; zbMATH DE number 835835 (Why is no real title available?)
- Asymptotic properties of SPS confidence regions
- CVXPY: a Python-embedded modeling language for convex optimization
- Closed-loop identification revisited
- Facing undermodelling in sign-perturbed-sums system identification
- Finite sample properties of linear model identification
- Finite sample properties of system identification methods
- Finite time identification in unstable linear systems
- Guaranteed characterization of exact non-asymptotic confidence regions as defined by LSCR and SPS
- Guaranteed non-asymptotic confidence regions in system identification
- Non-Asymptotic Confidence Sets for the Parameters of Linear Transfer Functions
- Non-asymptotic confidence regions for model parameters in the presence of unmodelled dynamics
- On covariance function tests used in system identification
- Perturbed datasets methods for hypothesis testing and structure of corresponding confidence sets
- Shape Sensitivity Analysis and Gradient-Based Optimization of Large Structures Using MLFMA
- Sign-Perturbed Sums: A New System Identification Approach for Constructing Exact Non-Asymptotic Confidence Regions in Linear Regression Models
Cited in
(4)- Facing undermodelling in sign-perturbed-sums system identification
- Highly-efficient filtered hierarchical identification algorithms for multiple-input multiple-output systems with colored noises
- Comment on 'Residual models and stochastic realization in state-space system identification' by R. Johansson et al.
- Instrumental variable scheme for closed-loop LPV model identification
This page was built for publication: Non-asymptotic state-space identification of closed-loop stochastic linear systems using instrumental variables
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6137801)
