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Multiple Kernel Based Regularized System Identification with SURE Hyper-parameter Estimator
Chinese Univ Hong Kong, Peoples R China; Chinese Univ Hong Kong, Peoples R China.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
Chinese Univ Hong Kong, Peoples R China.
Tech Univ Denmark, Denmark.
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2018 (English)In: 18th IFAC Symposium on System Identification (SYSID), Proceedings, ELSEVIER SCIENCE BV , 2018, Vol. 51, no 15, p. 13-18Conference paper, Published paper (Refereed)
Abstract [en]

In this work, we study the multiple kernel based regularized system identification with the hyper-parameter estimated by using the Steins unbiased risk estimators (SURE). To approach the problem, a QR factorization is first employed to compute SUREs objective function and its gradient in an efficient and accurate way. Then we propose an algorithm to solve the SURE problem, which contains two parts: the outer optimization part and the inner optimization part. For the outer optimization part, the coordinate descent algorithm is used and for the inner optimization part, the projection gradient algorithm is used. Finally, the efficacy of the proposed algorithm is demonstrated by numerical simulations. (C) 2018, IFAC (International Federation of Automatic Control) Hosting by Elsevier Ltd. All rights reserved.

Place, publisher, year, edition, pages
ELSEVIER SCIENCE BV , 2018. Vol. 51, no 15, p. 13-18
Series
IFAC papers online, E-ISSN 2405-8963
Keywords [en]
Linear system identification; regularization methods; hyper-parameter estimation; SURE; multiple kernel
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:liu:diva-152409DOI: 10.1016/j.ifacol.2018.09.083ISI: 000446599200004OAI: oai:DiVA.org:liu-152409DiVA, id: diva2:1259595
Conference
18th IFAC Symposium on System Identification (SYSID)
Note

Funding Agencies|Thousand Youth Talents Plan - central government of China; NSFC [61773329, 61603379]; Shenzhen Science and Technology Innovation Council [Ji-20170189, Ji-20160207]; Chinese University of Hong Kong, Shenzhen [2014.0003.23]; Swedish Research Council [621-2014-5894]; National Key Basic Research Program of China (973 Program) [2014CB845301]; Fund of Academy of Mathematics and Systems Science, CAS [2015-hwyxqnrc-mbq]; [PF. 01.000249]

Available from: 2018-10-30 Created: 2018-10-30 Last updated: 2018-10-30

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