The cost of complexity in system identification: The Output Error case
2011 (English)In: Automatica, ISSN 0005-1098, Vol. 47, no 9, 1938-1948 p.Article in journal (Refereed) Published
In this paper we investigate the cost of complexity, which is defined as the minimum amount of input power required to estimate the frequency response of a given linear time invariant system of order n with a prescribed degree of accuracy. In particular we require that the asymptotic (in the data length) variance is less or equal to gamma over a prespecified frequency range [0, omega(B)]. The models considered here are Output Error models, with an emphasis on fixed denominator and Laguerre models. Several properties of the cost are derived. For instance, we present an expression which shows how the pole of the Laguerre model affects the cost. These results quantify how the cost of the system identification experiment depends on n and on the model structure. Also, they show the relation between the cost and the amount of information we would like to extract from the system (in terms of omega(B) and gamma). For simplicity we assume that there is no undermodelling.
Place, publisher, year, edition, pages
2011. Vol. 47, no 9, 1938-1948 p.
Experiment design, System identification, Prediction error method, LMI optimization, Asymptotic variance
Research subject SRA - ICT
IdentifiersURN: urn:nbn:se:kth:diva-41792DOI: 10.1016/j.automatica.2011.06.021ISI: 000294877400010ScopusID: 2-s2.0-80052032229OAI: oai:DiVA.org:kth-41792DiVA: diva2:445242
FunderSwedish Research Council, 621-2007-6271Swedish Research Council, 621-2009-4017
QC 201507232011-10-032011-10-032015-07-23Bibliographically approved