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Composite Modeling of Transfer Functions
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.
1995 (English)In: IEEE Transactions on Automatic Control, ISSN 0018-9286, E-ISSN 1558-2523, Vol. 40, no 5, 820-832 p.Article in journal (Refereed) Published
Abstract [en]

The problem under consideration is how to estimate the frequency function of a system and the associated estimation error when a set of possible model structures is given and then one of them is known to contain the true system. The «classical» solution to this problem is to, first, use a consistent model structure selection criterion to discard all but one single structure, second, estimate a model in this structure and, third, conditioned on the assumption that the chosen structure contains the true system, compute an estimate of the estimation error. For a finite data set, however, one cannot guarantee that the correct structure is chosen, and this «structural» uncertainty is lost in the previously mentioned approach. In this contribution a method is developed that combines the frequency function estimates and the estimation errors from all possible structures into a joint estimate and estimation error. Hence, this approach bypasses the structure selection problem. This is accomplished by employing a Bayesian setting. Special attention is given to the choice of priors. With this approach it is possible to benefit from a priori information about the frequency function even though the model structure is unknown.

Place, publisher, year, edition, pages
1995. Vol. 40, no 5, 820-832 p.
Keyword [en]
Bayes methods, Identification, Modelling, Probability, Transfer functions
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-56346DOI: 10.1109/9.384216OAI: oai:DiVA.org:liu-56346DiVA: diva2:318611
Available from: 2010-05-09 Created: 2010-05-07 Last updated: 2013-07-16

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Gustafsson, Fredrik

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