Direct Weight Optimization in Statistical Estimation and System Identification
2007 (English)Report (Other academic)
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
Linköping: Linköping University Electronic Press, 2007. , 44 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2831
Statistical estimation, Nonparametric identification, Minimax techniques, Convex programming, Nonlinear systems, Estimation error
IdentifiersURN: urn:nbn:se:liu:diva-56151ISRN: LiTH-ISY-R-2831OAI: oai:DiVA.org:liu-56151DiVA: diva2:316947