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Abstract: In this paper, we develop a new identification procedure for ARX models with uncertain, unknown-but-bounded time-varying coefficients. The method seeks the smallest ellipsoid containing the coefficients, such that the resulting model in unfalsified by the observed data. The problem is formulated as a semidefinite programming program. We interpret our deterministic method in a probabilistic setting, and show how this interpretation can be used to effectively discard outliers. We generalize the... (Update)
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BibTeX entry: (Update)
@misc{ ghaoui-identification,
author = "Laurent El Ghaoui and Giuseppe Calafiore",
title = "Identification of ARX Models with Time-Varying Bounded Parameters: A Semidefinite
Programming Approach",
url = "citeseer.ist.psu.edu/elghaoui00identification.html" }
Citations (may not include all citations):529 Linear Matrix Inequalities in System and Control Theory (context) - Boyd, Ghaoui et al. - 1994
519 System Identification: Theory for the User (context) - Ljung - 1987
7 Worst-case simulation of uncertain systems - Ghaoui, Calafiore - 1999
6 Validation of linear fractional uncertain models: solutions .. (context) - Chen, Wang - 1995
6 Validation of linear fractional uncertain models: solutions .. (context) - Chen, Wang - 1996
5 Moment problems and semidefinite optimization (context) - Bertsimas, Sethuraman - 2000
1 Identification of time-varying systems with normbounded coef.. (context) - Ghaoui, El - 2000
1 Robust and Optimal Control (context) - programming, -- et al. - 1995
1 ene and Walter (context) - Mario, John et al. - 1996
1 Model validation for structured uncertainty models (context) - to, Identification et al. - 1998
1 On computational complexity of invalidating structured uncer.. (context) - Conf, -- et al. - 1998
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