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Tuning of Hyperparameters for FIR models - an Asymptotic Theory
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering. Chinese Univ Hong Kong, Peoples R China.ORCID iD: 0000-0001-8655-2655
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
2017 (English)In: IFAC PAPERSONLINE, ELSEVIER SCIENCE BV , 2017, Vol. 50, no 1, p. 2818-2823Conference paper, Published paper (Refereed)
Abstract [en]

Regularization of simple linear regression models for system identification is a recent much-studied problem. Several parameterizations ("kernels") of the regularization matrix have been suggested together with different ways of estimating ("tuning") its parameters. This contribution defines an asymptotic view on the problem of tuning and selection of kernels. It is shown that the SURE approach to parameter tuning provides an asymptotically consistent estimate of the optimal (in a MSE sense) hyperparameters. At the same time it is shown that the common marginal likelihood (empirical Bayes) approach does not enjoy that property. (C) 2017, IFAC (International Federation of Automatic Control) Hosting by Elsevier Ltd. All rights reserved.

Place, publisher, year, edition, pages
ELSEVIER SCIENCE BV , 2017. Vol. 50, no 1, p. 2818-2823
Series
IFAC Papersonline, E-ISSN 2405-8963
Keyword [en]
Linear system identification; Gaussian process regression; Kernel-based regularization; Marginal likelihood estimators; Steins unbiased risk estimators
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-147219DOI: 10.1016/j.ifacol.2017.08.633ISI: 000423845200455OAI: oai:DiVA.org:liu-147219DiVA, id: diva2:1197307
Conference
20th World Congress of the International-Federation-of-Automatic-Control (IFAC)
Available from: 2018-04-12 Created: 2018-04-12 Last updated: 2018-04-12

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Mu, BiqiangChen, TianshiLjung, Lennart
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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf