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A Branch and Bound Approach to System Identification based on Fixed-rank Hankel Matrix Optimization
KTH, School of Electrical Engineering and Computer Science (EECS), Automatic Control.
KTH, School of Electrical Engineering and Computer Science (EECS), Automatic Control.ORCID iD: 0000-0003-0355-2663
KTH, School of Electrical Engineering and Computer Science (EECS), Automatic Control.ORCID iD: 0000-0002-1927-1690
2018 (English)In: IFAC-PapersOnLine, E-ISSN 2405-8963, Vol. 51, no 15, p. 96-101Article in journal (Refereed) Published
Abstract [en]

We consider identification of linear systems with a certain order from a set of noisy input-output observations. We utilize the fact that the system order corresponds to the rank of the Hankel matrix associated with the system impulse response. Then, the system identification problem is formulated as the minimization of the output error subject to a rank constraint on a Hankel matrix. As this problem is non-convex, we propose a branch and bound (BB) solver, which is a powerful tool for solving non-convex problems to optimality. The main ingredients of the proposed BB method are a convex relaxation problem and a local minimizer of the original non-convex problem. We illustrate the promising performance of the proposed scheme in a system identification problem. The results demonstrate the higher accuracy and stability of our method in estimating the true system compared to the standard output error (OE) algorithm.

Place, publisher, year, edition, pages
Elsevier B.V. , 2018. Vol. 51, no 15, p. 96-101
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-247401DOI: 10.1016/j.ifacol.2018.09.097Scopus ID: 2-s2.0-85054351520OAI: oai:DiVA.org:kth-247401DiVA, id: diva2:1298350
Note

QC 20190322

Available from: 2019-03-22 Created: 2019-03-22 Last updated: 2019-03-22Bibliographically approved

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Sadeghi, MostafaRojas, Cristian R.Wahlberg, Bo

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  • apa
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Output format
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