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On the variance of identified SIMO systems with spatially correlated output noise
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.ORCID iD: 0000-0002-9368-3079
2014 (English)In: Proceedings of the IEEE Conference on Decision and Control, IEEE conference proceedings, 2014, no February, 2636-2641 p.Conference paper, Published paper (Refereed)
Abstract [en]

In this paper, we study the problem of evaluating the accuracy of identified linear single-input multi-output (SIMO) dynamical models, where the disturbances affecting the output measurements are spatially correlated. Assuming that the input is an observed white noise sequence, we provide an expression for the covariance matrix of the parameter estimates when weighted least-squares (WLS) are adopted to identify the parameters. Then, we show that, by describing one of the subsystems composing the SIMO structure using less parameters than the other subsystems, substantial improvement on the accuracy of the estimates of some parameters can be obtained. The amount of such an improvement depends critically on the covariance matrix of the output noise and we provide a condition on the noise correlation structure under which the mentioned model parametrization gives the lowest variance in the identified model. We illustrate the derived results through some numerical experiments.

Place, publisher, year, edition, pages
IEEE conference proceedings, 2014. no February, 2636-2641 p.
National Category
Electrical Engineering, Electronic Engineering, Information Engineering
Identifiers
URN: urn:nbn:se:kth:diva-176155DOI: 10.1109/CDC.2014.7039792Scopus ID: 2-s2.0-84931840886OAI: oai:DiVA.org:kth-176155DiVA: diva2:874966
Conference
2014 53rd IEEE Annual Conference on Decision and Control, CDC 2014, 15 December - 17 December 2014
Funder
Swedish Research CouncilEU, European Research Council
Note

QC 20151130

Available from: 2015-11-30 Created: 2015-11-02 Last updated: 2016-05-11Bibliographically approved

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Hjalmarsson, Håkan

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
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  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
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  • Other locale
More languages
Output format
  • html
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  • asciidoc
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