Search
Abstract
Accurate identification of stochastic systems with fast-varying parameters is a challenging task which cannot be accomplished using model-free estimation methods, such as weighted least squares, which assume only that system coefficients can be regarded as locally constant. The current state of the art solutions are based on the assumption that system parameters can be locally approximated by a linear combination of appropriately chosen basis functions. The paper shows that when the internal correlation structure of estimated parameters is known, the tracking performance of the local basis function estimation algorithms can be further improved by means of regularization. The optimal form of the regularization matrix is derived analytically and it is shown that the best settings of the regularized algorithm can be determined in the computationally efficient way using cross-validation.
Citations
-
0
CrossRef
-
0
Web of Science
-
0
Scopus
Authors (2)
Cite as
Full text
full text is not available in portal
Keywords
Details
- Category:
- Conference activity
- Type:
- publikacja w wydawnictwie zbiorowym recenzowanym (także w materiałach konferencyjnych)
- Title of issue:
- 2022 IEEE 61st Conference on Decision and Control (CDC) strony 227 - 234
- Language:
- English
- Publication year:
- 2022
- Bibliographic description:
- Niedźwiecki M., Gańcza A.: Optimally regularized local basis function approach to identification of time-varying systems// 2022 IEEE 61st Conference on Decision and Control (CDC)/ : , 2022, s.227-234
- DOI:
- Digital Object Identifier (open in new tab) 10.1109/cdc51059.2022.9992328
- Sources of funding:
-
- Project Generalized Savitzky-Golay filters for identification and smoothing of nonstationary processes
- Statutory activity/subsidy
- Verified by:
- Gdańsk University of Technology
seen 32 times