Uncertainty in system identification: learning from the theory of risk
2015 (English)In: IFAC-PapersOnLine, IFAC Papers Online, 2015, Vol. 48, 1053-1058 p.Conference paper (Refereed)
This article addresses the issue of measuring uncertainty in optimization problems arising in system identification. The issue of uncertainty has been studied in the theory of risk, where the results are mainly employed in finance applications. Here we explore how the results in the literature of theory of risk can be used to obtain a systematic approach to uncertainty in system identification. For concreteness, the discussion is illustrated by an application to input design, but it can be extended to other areas of the field.
Place, publisher, year, edition, pages
IFAC Papers Online, 2015. Vol. 48, 1053-1058 p.
System identification, input design, theory of risk, uncertainty
Research subject Electrical Engineering
IdentifiersURN: urn:nbn:se:kth:diva-183499DOI: 10.1016/j.ifacol.2015.12.270OAI: oai:DiVA.org:kth-183499DiVA: diva2:911839
17th IFAC Symposium on System Identification SYSID 2015 — Beijing, China, 19–21 October 2015
FunderSwedish Research Council, 621-2011-5890Swedish Research Council, 621-2009-4017EU, European Research Council, 267381
QC 201603162016-03-142016-03-142016-04-06Bibliographically approved