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A Weighted Least Squares Method for Estimation of Unstable Systems
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.
2016 (English)In: 2016 IEEE 55th Conference on Decision and Control, CDC 2016, Institute of Electrical and Electronics Engineers (IEEE), 2016, 341-346 p., 7798292Conference paper (Refereed)
Abstract [en]

Estimating unstable systems typically requires additional system identification techniques. In this paper, we consider the weighted null-space fitting method, a three step method that is asymptotically efficient for stable systems. This method first estimates a high order ARX model and then reduces it to a structured model with lower variance using weighted least squares. However, with unstable systems, the method cannot be used to simultaneously estimate the stable and unstable poles. To solve this, we observe that the unstable poles can be estimated from the high order ARX model with relative high accuracy, and use this as an estimate for the unstable poles of the model of interest. Then, the remaining parameters in this model can be estimated by weighted least squares. Because the complete set of parameters is not estimated jointly, asymptotic efficiency is lost. Nevertheless, a simulation study shows good performance.

Place, publisher, year, edition, pages
Institute of Electrical and Electronics Engineers (IEEE), 2016. 341-346 p., 7798292
Series
IEEE Conference on Decision and Control, ISSN 0743-1546
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-208620DOI: 10.1109/CDC.2016.7798292ISI: 000400048100056ScopusID: 2-s2.0-85010754119ISBN: 978-1-5090-1837-6 OAI: oai:DiVA.org:kth-208620DiVA: diva2:1108039
Conference
55th IEEE Conference on Decision and Control, CDC 2016, ARIA Resort and Casino, Las Vegas, United States, 12 December 2016 through 14 December 2016
Funder
Swedish Research Council, 621-2009-4017EU, European Research Council, 267381
Note

QC 20170612

Available from: 2017-06-12 Created: 2017-06-12 Last updated: 2017-06-12Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
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  • nn-NB
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More languages
Output format
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