Identification of noisy input-output FIR models with colored output noise

被引：0

作者：

Barbieri, Matteo ^{[1
]}

Diversi, Roberto ^{[1
]}

机构：

[1] Univ Bologna, Dept Elect Elect & Informat Engn, Viale Risorgimento 2, I-40136 Bologna, Italy

来源：

IFAC PAPERSONLINE | 2020年 / 53卷 / 02期

关键词：

System identification; FIR models; errors-in-variables models; Frisch scheme; high-order Yule-Walker equations; LEAST; ALGORITHM; SYSTEMS;

D O I：

10.1016/j.ifacol.2020.12.850

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper deals with the identification of FIR models corrupted by white input noise and colored output noise. An identification algorithm that exploits the properties of both the dynamic Frisch scheme and the high-order Yule-Walker (HOYW) equations is proposed. It is shown how the HOYW equations allow to define a selection criterion for identifying the input noise variance (and then the FIR coefficients) within the Frisch locus of solutions. The proposed approach does not require any a priori knowledge about the input and output noise variances. The algorithm performance is assessed by means of Monte Carlo simulations. Copyright (C) 2020 The Authors.

引用

页码：901 / 906

页数：6

共 50 条

[41] AGGREGATION AND DISAGGREGATION IN INPUT-OUTPUT MODELS
SEKERKA, B
[J]. EKONOMICKO-MATEMATICKY OBZOR, 1978, 14 (04): : 411 - 426
[42] INPUT-OUTPUT MODELS - THEORY AND APPLICATIONS
BAIRD, RG
[J]. JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 1980, 31 (01) : 99 - 100
[43] INDUSTRY AGGREGATION IN INPUT-OUTPUT MODELS
KYMN, KO
NORSWORTHY, JR
[J]. RIVISTA INTERNAZIONALE DI SCIENZE ECONOMICHE E COMMERCIALI, 1975, 22 (10): : 963 - 971
[44] Closed-loop relevant identification of input-output and noise dynamic
De Bruyne, F
[J]. PROCEEDINGS OF THE 1998 AMERICAN CONTROL CONFERENCE, VOLS 1-6, 1998, : 3199 - 3203
[45] THE EFFECT OF AGGREGATION ON THE OUTPUT MULTIPLIERS IN INPUT-OUTPUT MODELS - REPLY
BURFORD, RL
KATZ, JL
[J]. ANNALS OF REGIONAL SCIENCE, 1982, 16 (03): : 102 - 102
[46] THE EFFECTS OF AGGREGATION ON THE OUTPUT MULTIPLIERS IN INPUT-OUTPUT MODELS - A COMMENT
MILLER, RE
[J]. ANNALS OF REGIONAL SCIENCE, 1982, 16 (03): : 100 - 102
[47] Closed-loop continuous-time model identification with noisy input-output
Victor, Stephane
Diudichi, Arnold
Melchior, Pierre
[J]. IFAC PAPERSONLINE, 2017, 50 (01): : 12853 - 12858
[48] Kernel-based system identification from noisy and incomplete input-output data
Risuleo, Riccardo S.
Bottegal, Giulio
Hjalmarsson, Hakan
[J]. 2016 IEEE 55TH CONFERENCE ON DECISION AND CONTROL (CDC), 2016, : 2061 - 2066
[49] On least-squares identification of stochastic linear systems with noisy input-output data
Zheng, WX
[J]. INTERNATIONAL JOURNAL OF ADAPTIVE CONTROL AND SIGNAL PROCESSING, 1999, 13 (03) : 131 - 143
[50] Noisy input-output system identification using the least-squares based algorithms
Zheng, WX
[J]. PROCEEDINGS OF THE 37TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-4, 1998, : 725 - 730

← 1 2 3 4 5 →