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Identification of ARX Models with Time-Varying Bounded Parameters: A Semidefinite Programming Approach (2000)  (Make Corrections)  
Laurent El Ghaoui, Giuseppe Calafiore



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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
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