Piecewise Linear Solution Paths with Application to Direct Weight Optimization
2008 (English)In: Automatica, ISSN 0005-1098, Vol. 44, no 11, 2745-2753 p.Article in journal (Refereed) Published
Recently, pathfollowing algorithms for parametric optimization problems with piecewise linear solution paths have been developed within the field of regularized regression. This paper presents a generalization of these algorithms to a wider class of problems. It is shown that the approach can be applied to the nonparametric system identification method, Direct Weight Optimization (DWO), and be used to enhance the computational efficiency of this method. The most important design parameter in the DWO method is a parameter (lambda) controlling the bias-variance trade-off, and the use of parametric optimization with piecewise linear solution paths means that the DWO estimates can be efficiently computed for all values of lambda simultaneously. This allows for designing computationally attractive adaptive bandwidth selection algorithms. One such algorithm for DWO is proposed and demonstrated in two examples.
Place, publisher, year, edition, pages
Elsevier, 2008. Vol. 44, no 11, 2745-2753 p.
Parametric programming, Piecewise quadratic programming, Function approximation, Nonlinear system identification, Nonparametric identification
IdentifiersURN: urn:nbn:se:liu:diva-16240DOI: 10.1016/j.automatica.2008.03.020OAI: oai:DiVA.org:liu-16240DiVA: diva2:133501