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Composite modeling of transfer functions
Department of Electrical Engineering, Linköping University. (Reglerteknik, Automatic Control)ORCID iD: 0000-0002-9368-3079
Department of Electrical Engineering, Linköping University. (Reglerteknik, Automatic Control)
1995 (English)In: IEEE Transactions on Automatic Control, ISSN 00189286 (ISSN), Vol. 40, no 5, 820-832 p.Article in journal (Refereed) Published
Abstract [en]

The problem under consideration is how to estimate the frequency function of a system and the associated estimation error when a set of possible model structures is given and then one of them is known to contain the true system. The 'classical' solution to this problem is to, first, use a consistent model structure selection criterion to discard all but one single structure, second, estimate a model in this structure and, third, conditioned on the assumption that the chosen structure contains the true system, compute an estimate of the estimation error. For a finite data set, however, one cannot guarantee that the correct structure is chosen, and this 'structural' uncertainty is lost in the previously mentioned approach. In this contribution a method is developed that combines the frequency function estimates and the estimation errors from all possible structures into a joint estimate and estimation error. Hence, this approach bypasses the structure selection problem. This is accomplished by employing a Bayesian setting. Special attention is given to the choice of priors. With this approach it is possible to benefit from a priori information about the frequency function even though the model structure is unknown.

Place, publisher, year, edition, pages
1995. Vol. 40, no 5, 820-832 p.
Keyword [en]
Errors, Hierarchical systems, Mathematical models, Probability, Probability density function, Vectors, Bayesian setting, Composite modelling, Frequency estimation, Transfer functions
National Category
Control Engineering
Research subject
URN: urn:nbn:se:kth:diva-60591DOI: 10.1109/9.384216OAI: diva2:477531
NR 20140805Available from: 2012-01-13 Created: 2012-01-13 Last updated: 2012-01-13Bibliographically approved

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Hjalmarsson, Håkan
Control Engineering

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