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Consistent Nonparametric Estimation of NARX Systems Using Convex Optimization
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.
2005 (English)Report (Other academic)
Abstract [en]

In this paper, a nonparametric method based on quadratic programming (QP) for identification of nonlinear autoregressive systems with exogenous inputs (NARX systems) is presented. We consider a mixed parametric/nonparametric model structure. The output is assumed to be the sum of a parametric linear part and a nonparametric Lipschitz continuous part. The consistency of the estimator is shown assuming only that an upper bound on the true Lipschitz constant is given. In addition, different types of prior knowledge about the system can easily be incorporated. Examples show that the method can give accurate estimates also for small data sets and that the estimate of the linear part sometimes can be improved compared to the linear least squares estimate.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2005. , 19 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 2721
Keyword [en]
System identification, NARX systems, Nonparametric models
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-56072ISRN: LiTH-ISY-R-2721OAI: oai:DiVA.org:liu-56072DiVA: diva2:316867
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2014-10-02Bibliographically approved

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Roll, JacobEnqvist, MartinLjung, Lennart

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • 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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  • asciidoc
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