Design of Gaussian inputs for Wiener model identification

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1 Citaat (Scopus)

Samenvatting

We develop a tractable algorithms for finding the optimal power spectral density of the Gaussian input excitation for identifying a Wiener model. This problem is known as a difficult problem for two reasons. Firstly, the estimation accuracy depends on the higher order joint moments of the potentially infinitely many past samples of the input signal. In addition, the covariance matrix of the parameter estimates is thought to be a highly non-convex function of the power spectral density function. In this contribution we show that under Gaussian assumption it is possible to completely parameterize the set of all admissible information matrices with only a finite number of parameters. We present a convex algorithm to solve the D-optimal design problem. This idea can be extended further to design Gaussian mixture designs.
Originele taal-2English
Titel17th IFAC Symposium on System Identification (SYSID 2015), Beijing, China, October 19-21, 2015
UitgeverijElsevier
Pagina's614-619
DOI's
StatusPublished - 19 okt 2015
Evenement17th IFAC Symposium on System Identification (SYSID 2015) - Beijing, China
Duur: 19 okt 201521 okt 2015

Publicatie series

NaamIFAC-PapersOnline
UitgeverijElsevier
Nummer28
Volume48
ISSN van elektronische versie2405-8963

Conference

Conference17th IFAC Symposium on System Identification (SYSID 2015)
LandChina
StadBeijing
Periode19/10/1521/10/15

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