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L2 Model Reduction and Variance Reduction
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.
2000 (English)In: Proceedings of the 12th IFAC Symposium on System Identification, New York, USA: Pergamon Press, 2000, 1517-1530 p.Conference paper, Published paper (Refereed)
Abstract [en]

In this contribution we examine certain variance properties of model reduction. The focus is on L2 model reduction, but some general results are also presented. These general results can be used to analyze various other model reduction schemes. The models we study are finite impulse response (FIR) and output error (OE) models. We compare the variance of two estimated models. The first one is estimated directly from data and the other one is computed by reducing a high order model, by L2 model reduction. In the FIR case we show that it is never better to estimate the model directly from data, compared to estimating it via L2 model reduction of a high order FIR model. For OE models we show that the reduced model has the same variance as the directly estimated one if the reduced model class used contains the true system.

Place, publisher, year, edition, pages
New York, USA: Pergamon Press, 2000. 1517-1530 p.
Series
Automatica (Journal of IFAC), ISSN 0005-1098 ; Volume 38, Issue 9
Keyword [en]
Identification, Model reduction, Variance reduction
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-91207DOI: 10.1016/S0005-1098(02)00066-3ISBN: 978-0080435459 (print)OAI: oai:DiVA.org:liu-91207DiVA: diva2:616807
Conference
12th IFAC Symposium on System Identification, Santa Barbara, CA, USA, 21-23 June, 2000
Available from: 2013-04-18 Created: 2013-04-17 Last updated: 2015-01-29

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Ljung, Lennart

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CiteExportLink to record
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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