Direct Weight Optimization in Statistical Estimation and System Identification
2008 (English)In: Proceedings of the 7th International Conference on System Identification and Control Problems, 2008Conference paper (Refereed)
The Direct Weight Optimization (DWO) approach to statistical estimation and the application to nonlinear system identiﬁcation has been proposed and developed during the last few years. Computationally, the approachis typically reduced to a convex (e.g., quadratic or conic) program, whichcan be solved eﬃciently. The optimality or sub-optimality of the obtained estimates, in a minimax sense w.r.t. the estimation error criterion, can be analyzed under weak a priori conditions. The main ideas of the approach are discussed here and an overview of the obtained results is presented.
Place, publisher, year, edition, pages
Statistical estimation, Nonparametric identification, Minimax techniques, Convex programming, Nonlinear systems, Estimation error
IdentifiersURN: urn:nbn:se:liu:diva-42216Local ID: 61634OAI: oai:DiVA.org:liu-42216DiVA: diva2:263071
7th International Conference on System Identification and Control Problems, Moscow, Russia, January, 2008