Input Design for Regularized System Identification: Stationary Conditions and Sphere Preserving Algorithm

This article studies input design of kernel-based regularization methods for linear dynamical systems, which has been formulated as a nonconvex optimization problem with the criterion being a scalar measure of the posterior covariance of the Bayesian estimate, subject to a spherical constraint on th...

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Vydané v:IEEE transactions on automatic control Ročník 68; číslo 9; s. 5714 - 5720
Hlavní autori: Mu, Biqiang, Kong, He, Chen, Tianshi, Jiang, Bo, Wang, Lei, Wu, Junfeng
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: New York IEEE 01.09.2023
The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Predmet:
Algorithms
Approximation algorithms
Computer simulation
Computing time
Convex functions
Covariance matrices
Frequency-domain analysis
Input design
Kernel
Optimization
Regularization
regularized system identification
Search problems
spherical constraint preserving (SCP) algorithm
stationary points
System identification
ISSN:0018-9286, 1558-2523
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Shrnutí:This article studies input design of kernel-based regularization methods for linear dynamical systems, which has been formulated as a nonconvex optimization problem with the criterion being a scalar measure of the posterior covariance of the Bayesian estimate, subject to a spherical constraint on the input. The nonconvex nature of such input design problems poses significant challenges in deriving optimality conditions and efficient numerical algorithms. In this work, we first derive a sufficient condition for guaranteeing that a stationary point of the regularized input design problem is a global minimum. Next, we propose a spherical constraint preserving (SCP) algorithm to efficiently reach a stationary point of the design problem. Numerical simulation results show that the SCP algorithm finds the global minimum of the original design problem for all simulated cases and its average computational time is only approximately one tenth of that of the algorithms for previous methods.
Bibliografia:ObjectType-Article-1
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content type line 14
ISSN:0018-9286
1558-2523
DOI:10.1109/TAC.2022.3228200