Optimally robust system identification of systems subject to amplitude-bounded stochastic disturbances

Hjalmarsson, Håkan,1962-KTH,Signaler, sensorer och system,Signalbehandling, Signal Processing (författare)

NR 20140805
In this contribution it is shown that log cos(Ï€cursive Greek chi/(2C)) is the optimally robust criterion function for prediction error methods with respect to amplitude-bounded stochastic disturbances. This criterion function minimizes the maximum asymptotic covariance matrix of the parameter estimates for the family of innovations of the system which are amplitude bounded by the constant C. Furthermore, the stochastic worst case performance of the estimate corresponding to the criterion function log cos(Ï€cursive Greek chi/(2C)) is better than the worst case performance of the least squares estimate even if the constant C is chosen larger than the actual amplitude bound on the innovations. In addition to its favorable properties in a stochastic setting, this criterion function also generates estimates which are unfalsified in a deterministic framework.

TEKNIK OCH TEKNOLOGIER Elektroteknik och elektronik Reglerteknik hsv//swe
ENGINEERING AND TECHNOLOGY Electrical Engineering, Electronic Engineering, Information Engineering Control Engineering hsv//eng
Identification
Prediction error methods
Robust estimation
Stochastic systems
Errors
Functions
Least squares approximations
Matrix algebra
Performance
Random processes
Robustness (control systems)
Parameter estimation
SRA - ICT
SRA - Informations- och kommunikationsteknik

Ingår i:IEEE Transactions on Automatic Control: Institute of Electrical and Electronics Engineers (IEEE)43:7, s. 947-9530018-9286

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