On Re-Weighting, Regularization Selection, and Transient in Nuclear Norm Based Identification

• In this contribution, we consider the classical problem of estimating an Output Error model given a set of input-output measurements. First, we develop a regularization method based on the re-weighted nuclear norm heuristic. We show that the re-weighting improves the estimate in terms of better fit. Second, we suggest an implementation method that helps in eliminating the regularization parameters from the problem by introducing a constant based on a validation criterion. Finally, we develop a method for considering the effect of the transient when the initial conditions are unknown. A simple numerical example is used to demonstrate the proposed method in comparison to classical and another recent method based on the nuclear norm heuristic.

Subject headings

TEKNIK OCH TEKNOLOGIER  -- Elektroteknik och elektronik -- Signalbehandling (hsv//swe)

ENGINEERING AND TECHNOLOGY  -- Electrical Engineering, Electronic Engineering, Information Engineering -- Signal Processing (hsv//eng)

Keyword

Output error identification

low-rank estimation

nuclear norm

least squares

regularization

Electrical Engineering

Elektro- och systemteknik

Publication and Content Type

ref (subject category)

art (subject category)