Optimally robust system identification of systems subject to amplitude-bounded stochastic disturbances
1998 (English)In: IEEE Transactions on Automatic Control, ISSN 00189286 (ISSN), Vol. 43, no 7, 947-953 p.Article in journal (Refereed) Published
In this contribution it is shown that log cos(Ï€cursive Greek chi/(2C)) is the optimally robust criterion function for prediction error methods with respect to amplitude-bounded stochastic disturbances. This criterion function minimizes the maximum asymptotic covariance matrix of the parameter estimates for the family of innovations of the system which are amplitude bounded by the constant C. Furthermore, the stochastic worst case performance of the estimate corresponding to the criterion function log cos(Ï€cursive Greek chi/(2C)) is better than the worst case performance of the least squares estimate even if the constant C is chosen larger than the actual amplitude bound on the innovations. In addition to its favorable properties in a stochastic setting, this criterion function also generates estimates which are unfalsified in a deterministic framework.
Place, publisher, year, edition, pages
1998. Vol. 43, no 7, 947-953 p.
Identification, Prediction error methods, Robust estimation, Stochastic systems, Errors, Functions, Least squares approximations, Matrix algebra, Performance, Random processes, Robustness (control systems), Parameter estimation
Research subject SRA - ICT
IdentifiersURN: urn:nbn:se:kth:diva-60580DOI: 10.1109/9.701094OAI: oai:DiVA.org:kth-60580DiVA: diva2:479508
NR 201408052012-01-172012-01-132012-01-17Bibliographically approved