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Comparison of Methods for Probabilistic Uncertainty Bounding
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.
1999 (English)In: Proceedings of the 38th IEEE Conference on Decision and Control, 1999, 522-527 vol.1 p.Conference paper, Published paper (Refereed)
Abstract [en]

The problem of computing probabilistic uncertainty regions for the frequency responses of identified models is studied. A novel method for uncertainty bounding that uses bootstrap is presented and compared to a classical method using estimated covariance information. It is shown that, with bootstrap, it is possible to compute realistic uncertainty regions that closely resemble those obtainable through Monte Carlo simulations.

Place, publisher, year, edition, pages
1999. 522-527 vol.1 p.
Keyword [en]
Model uncertainty, Identification, Bootstrap
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-94081DOI: 10.1109/CDC.1999.832835ISBN: 0-7803-5250-5 (print)OAI: oai:DiVA.org:liu-94081DiVA: diva2:629107
Conference
38th IEEE Conference on Decision and Control, Phoenix, AZ, USA, December, 1999
Available from: 2013-06-16 Created: 2013-06-16 Last updated: 2013-10-09
In thesis
1. Variance Expressions and Model Reduction in System Identification
Open this publication in new window or tab >>Variance Expressions and Model Reduction in System Identification
2002 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

Although system identification is now a mature research field, some problems remain unsolved. Examples of unsolved or partly unsolved problems are; accuracy of subspace identification algorithms, identification via model reduction, identification for control, and identification of non-linear systems. Some problems that fall into these categories are studied in this thesis.

This thesis discusses variance expressions in system identification. In particular, variance expressions for reduced models are analyzed.

The topic of model reduction via system identification has received little attention during the years. To understand how the variance of a high order model affects the reduced model, a general expression for the variance of the low order model as a function of the reduction method used is derived. This allows the analysis of all model reduction methods that can be written as a minimization criterion, where the function to be minimized is twice continuously differentiable. Many methods can be studied using this approach. However, the popular method of model reduction by balanced truncation of states does not immediately fit into this framework.

Many unsolved problems in system identification may be studied with the use of bootstrap methods. This statistical tool, used to assess accuracy in estimation problems, may be adopted to a series of problems in system identification and signal processing. The thesis presents how bootstrap can be adopted in the prediction error framework. In addition, we demonstrate how bootstrap can be applied to problems of constructing condence regions with a simultaneous confidence degree and calculating the variance of undermodeled models.

The thesis briefly discusses how set membership identification and prediction error identification can be combined into a more robust estimate. Finally, insights into how model validation can be performed in a more user informative way are also given.

Place, publisher, year, edition, pages
Linköping: Linköping University, 2002. 192 p.
Series
Linköping Studies in Science and Technology. Dissertations, ISSN 0345-7524 ; 730
National Category
Control Engineering
Identifiers
urn:nbn:se:liu:diva-98162 (URN)91-7373-253-2 (ISBN)
Public defence
2002-02-22, Visionen, Hus B, Campus Valla, Linköpings universitet, Linköping, 10:15 (English)
Supervisors
Available from: 2013-10-09 Created: 2013-09-30 Last updated: 2013-10-09Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
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  • modern-language-association-8th-edition
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Language
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