Local Modelling of Nonlinear Dynamic Systems Using Direct Weight Optimization
2003 (English)Report (Other academic)
Local models and methods construct function estimates or predictions from observations in a local neighborhood of the point of interest. The bandwidth, i.e., how large the local neighborhood should be, is often determined based on asymptotic analysis. In this paper, an alternative, non-asymptotic approach that minimizes a uniform upper bound on the mean square error for a linear estimate is used. It is shown that the estimator is obtained from a quadratic program, that an automatic bandwidth selection is obtained, and that the approach can be seen as a local version of fitting affine models to data. Finally, the approach is applied to two benchmark systems.
Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2003. , 14 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2483
Non-parametric identification, Function approximation, Minimax techniques, Quadratic programming, Nonlinear systems
IdentifiersURN: urn:nbn:se:liu:diva-55903ISRN: LiTH-ISY-R-2483OAI: oai:DiVA.org:liu-55903DiVA: diva2:316627