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Multiple Steps Prediction with Nonlinear ARX Models
IRISA-INRIA, France.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2007 (English)Report (Other academic)
Abstract [en]

NLARX (NonLinear AutoRegressive with eXogenous inputs) models are frequently used in black-box nonlinear system identication. Though it is easy to make one step ahead prediction with such models, multiple steps prediction is far from trivial. The main difficulty is that in general there is no easy way to compute the mathematical expectation of an output conditioned by past measurements. An optimal solution would require intensive numerical computations related to nonlinear filltering. The purpose of this paper is to investigate simple non optimal prediction methods. It is shown that cautions must be paid when using such methods, since their prediction behaviors may be radically different, depending on some detailed choice.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2007. , 9 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 2793
Keyword [en]
Dentication
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-56059ISRN: LiTH-ISY-R-2793OAI: oai:DiVA.org:liu-56059DiVA: diva2:316878
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2014-10-08Bibliographically approved

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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
  • 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
  • text
  • asciidoc
  • rtf