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A Non-Asymptotic Approach to Local Modelling
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.
Institute of Control Sciences, Russia.
2002 (English)In: Proceedings of the 41st IEEE Conference on Decision and Control, 2002, 638-643 vol.1 p.Conference paper, Published paper (Refereed)
Abstract [en]

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 proposed. It is shown, for the scalar case, that the solution is obtained from a quadratic program, and that it maintains many of the key features of the asymptotic approaches. Moreover, examples show that the proposed approach in some cases is superior to an asymptotically based local linear estimator.

Place, publisher, year, edition, pages
2002. 638-643 vol.1 p.
Keyword [en]
Mean square error methods, Modeling, Bandwidth, System identification
National Category
Engineering and Technology Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-90272DOI: 10.1109/CDC.2002.1184574ISBN: 0-7803-7516-5 (print)OAI: oai:DiVA.org:liu-90272DiVA: diva2:613933
Conference
41st IEEE Conference on Decision and Control, Las Vegas, NV, USA, December, 2002
Available from: 2013-04-02 Created: 2013-03-24 Last updated: 2013-04-02

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Ljung, LennartRoll, Jacob

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  • nn-NB
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Output format
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  • asciidoc
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