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  • Enqvist, Martin, 1976-, et al. (författare)
  • Identification of Wiener System with Monotonous Nonlinearity
  • 2006
  • Ingår i: Proceedings of the 14th IFAC Symposium on System Identification. - 978-3-902661-02-9 ; s. 166-171
  • Konferensbidrag (refereegranskat)abstract
    • A Wiener system is composed of a linear dynamic subsystem followedby a static nonlinearity. It is well known in the literature that the identifcationof the linear subsystem of a Wiener system can be separated from that of theoutput nonlinearity, if the input signal is a Gaussian noise. In order to deal withthe non Gaussian input case, two new algorithms are proposed in this paper fordirect identifcation of the linear subsystem, regardless of any parametrization ofthe output nonlinearity. The essential assumption required in this paper is thestrict monotonousness of the output nonlinearity.
  • Forsman, Krister, et al. (författare)
  • Merging 'Reasoning' and Filtering in a Bayesian Framework : Some Sensitivity and Optimality Aspects
  • 1989
  • Rapport (övrigt vetenskapligt)abstract
    • An approach is described how to incorporate knowledge of symbolic/logic character into a conventional framework of noisy observations in dynamical systems. The idea is based on approximating the optimal solution that could theoretically be computed if a complete Bayesian framework were known (and infinite computational power were available). The nature of the approximations, the deviations from optimality and the sensitivity to ad hoc parameters are specifically addressed. This merging of logic and numerics is essential in many problems of adaptation in control and signal processing.
  • Gillberg, Jonas, et al. (författare)
  • Frequency-Domain Identification of Continuous-Time ARMA Models from Non-Uniformly Sampled Data
  • 2005
  • Rapport (övrigt vetenskapligt)abstract
    • This paper treats direct identification of continuous-time autoregressive moving average (CARMA) time-series models. The main result is a method for estimating the continuous-time power spectral density fromnon-uniformly sampled data. It is based on the interpolation (smoothing) using the Kalman filter. A deeper analysis is also carried out for the case of uniformly sampled data. This analysis provides a basis for proceeding with the non-uniform case. Numerical examples illustrating the performance of the method are also provided both, for spectral and subsequent parameter estimation.
  • Gustafsson, Fredrik, et al. (författare)
  • Signal processing : exercises
  • 2010
  • Bok (övrigt vetenskapligt)abstract
    • This book provides signal processing exercises and can with advantage be used together with the text book Signal Processing by Fredrik Gustafsson, Lennart Ljung and Mille Millnert. The chapters of the books are aligned, which means that there are matching exercises to each theory chapter. The first part of the book treats classical digital signal processing based on transforms and filters, while model based digital processing is in focus in the second part. Some exercises are more theoretical and solved by hand, while others are intended for Matlab on a computer. The book material is inspired by real problems, and so are the exercises. This is emphasized by the use of data sets, both simulated and real. Most exercises have complete solutions, and a section with hints provides guidance to some exercises. Selected exercises also result in a Matlab function corresponding to specific signal processing algorithms. These functions are used to solve other exercises. Thereby, the reader gradually build up a signal processing toolbox during the studies of the material. The book homepage contains more information and links to access the matlab functions, data sets and examples used in the book. Main book Signal Processing
  • Gustavsson, Ivar, et al. (författare)
  • Identification of Processes in Closed Loop-Identifiability and Accuracy Aspects
  • 1977
  • Ingår i: Automatica. - Elsevier. - 0005-1098. ; 13:1, s. 59-75
  • Tidskriftsartikel (refereegranskat)abstract
    • It is often necessary in practice to perform identification experiments on systems operating in closed loop. There has been some confusion about the possibilities of successful identification in such cases, evidently due to the fact that certain common methods then fail. A rapidly increasing literature on the problem is briefly surveyed in this paper, and an overview of a particular approach is given. It is shown that prediction error identification methods, applied in a direct fashion will given correct estimates in a number of feedback cases. Furthermore, the accuracy is not necessarily worse in the presence of feedback; in fact optimal inputs may very well require feedback terms. Some practical applications are also described.
  • Hagenblad, Anna, et al. (författare)
  • Maximum Likelihood Identification of Wiener Models
  • 2009
  • Rapport (övrigt vetenskapligt)abstract
    • The Wiener model is a block oriented model, having a linear dynamic system followed by a static nonlinearity. The dominating approach to estimate the components of this model has been to minimize the error between the simulated and the measured outputs. We show that this will, in general, lead to biased estimates if there are other disturbances present than measurement noise. The implications of Bussgang's theorem in this context are also discussed. For the case with general disturbances, we derive the Maximum Likelihood method and show how it can be efficiently implemented. Comparisons between this new algorithm and the traditional approach, confirm that the new method is unbiased and also has superior accuracy.
  • Hu, Xiao-Li, et al. (författare)
  • A Basic Convergence Result for Particle Filtering
  • 2007
  • Rapport (övrigt vetenskapligt)abstract
    • The basic nonlinear filtering problem for dynamical systems is considered. Approximating the optimal filter estimate by particle filter methods has become perhaps the most common and useful method in recent years. Many variants of particle filters have been suggested, and there is an extensive literature on the theoretical aspects of the quality of the approximation. Still a clear cut result that the approximate solution, for unbounded functions, converges to the true optimal estimate as the number of particles tends to infinity seems to be lacking. It is the purpose of this contribution to give such a basic convergence result for a rather general class of unbounded functions. Furthermore, a general framework, including many of the particle filter algorithms as special cases, is given.
  • Ljung, Lennart, 1946-, et al. (författare)
  • A Non-Asymptotic Approach to Local Modelling
  • 2002
  • Ingår i: Proceedings of the 4th Conference on Computer Science and Systems Engineering. - 0-7803-7516-5 ; s. 75-80
  • Konferensbidrag (övrigt vetenskapligt)abstract
    • Local models and methods construct function estimates or predictions from observations in a local neighborhood of the point of interest. The bandwidth, i.e., how large the local neighborhood should be, is often determined based on asymptotic analysis. In this paper, an alternative, non-asymptotic approach that minimizes a uniform upper bound on the mean square error for a linear estimate is proposed. It is shown, for the scalar case, that the solution is obtained from a quadratic program, and that it maintains many of the key features of the asymptotic approaches. Moreover, examples show that the proposed approach in some cases is superior to an asymptotically based local linear estimator.
  • Ljung, Lennart, 1946-, et al. (författare)
  • Adaptation and Tracking in System Identification
  • 1988
  • Rapport (övrigt vetenskapligt)abstract
    • This article gives a survey of basic techniques to derive and analyse algorithms for tracking time-varying systems. Special attention is paid to how different assumptions about the true system affect the algorithms. Explicit and semi-explicit expressions for the means square errors are derived, which clearly demonstrate the character of the trade-off between tracking ability and noise sensitivity.
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