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On the Use of Regularization in System Identification
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1992 (English)Report (Other academic)
Abstract [en]

Regularization is a standard statistical technique to deal with ill-conditioned parameter estimation problems. We discuss in this contribution what possibilities and advantages regularization offers in system identification. In the first place regularization reduces the variance error of a model, but at the same time it introduces a bias. The familiar trade-off between bias and variance error for the choice of model order/structure can therefore be discussed in terms of the regularization parameter. We also show how the well-known problem of parametrizing multivariable system can be dealt with using overparametrization plus regularization. A characteristic feature for this way of letting the parametrization/model structure/model order be solved by regularization is that it is an easy and "automatic" way of finding the important parameters and good parametrization. No statistical penalty is paid for the overparametrization, but there is a penalty of higher computational burden.

Place, publisher, year, edition, pages
Linköping: Linköping University , 1992.
Series
LiTH-ISY-I, ISSN 8765-4321 ; 1379
Keyword [en]
Regularization, Identification, Parametrization, Overparametrization, Model selection
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-55218OAI: oai:DiVA.org:liu-55218DiVA: diva2:315934
Available from: 2010-04-29 Created: 2010-04-29 Last updated: 2013-07-29

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Ljung, Lennart

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CiteExportLink to record
Permanent link

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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
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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