Nonparametric instrumental variables for identification of block-oriented systems

• Autorzy: Grzegorz Mzyk
• Języki publikacji: EN

Abstrakty

EN

A combined, parametric-nonparametric identification algorithm for a special case of NARMAX systems is proposed. The parameters of individual blocks are aggregated in one matrix (including mixed products of parameters). The matrix is estimated by an instrumental variables technique with the instruments generated by a nonparametric kernel method. Finally, the result is decomposed to obtain parameters of the system elements. The consistency of the proposed estimate is proved and the rate of convergence is analyzed. Also, the form of optimal instrumental variables is established and the method of their approximate generation is proposed. The idea of nonparametric generation of instrumental variables guarantees that the I.V. estimate is well defined, improves the behaviour of the least-squares method and allows reducing the estimation error. The method is simple in implementation and robust to the correlated noise.

Słowa kluczowe

EN

system identification; instrumental variables; NARMAX system; Hammerstein system; Wiener system; Lur'e system; nonparametric methods

• Wydawca: University of Zielona Gora Press
• Czasopismo: International Journal of Applied Mathematics and Computer Science
• Rocznik: 2013
• Tom: 23
• Numer: 3
• Strony: 521-537

Daty

wydano

2013

otrzymano

2012-12-06

poprawiono

2013-04-29

Twórcy

autor

Grzegorz Mzyk

• Institute of Computer Engineering, Control and Robotics, Wrocław University of Technology, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland

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Identyfikatory

DOI

10.2478/amcs-2013-0040