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Regularization with hard penalty functions for on-line estimation
Luleå University of Technology, Department of Computer Science, Electrical and Space Engineering, Signals and Systems.
Luleå University of Technology, Department of Computer Science, Electrical and Space Engineering, Signals and Systems.ORCID iD: 0000-0001-8893-4809
Luleå University of Technology, Department of Computer Science, Electrical and Space Engineering, Signals and Systems.ORCID iD: 0000-0002-0079-9049
2011 (English)In: 2011 9th IEEE International Conference on Control and Automation (ICCA 2011): Santiago, Chile, 19 - 21 December 2011, Piscataway, NJ: IEEE Communications Society, 2011, p. 195-200Conference paper, Published paper (Refereed)
Abstract [en]

We present two on-line methods for detecting changes and estimating parameters in AR(X) models. The methods are based on the assumption of piecewise constant parameters resulting in a sparse structure of their derivative. Smoothly Clipped Absolute Deviation (SCAD) and hard thresholding (HT) penalty functions are two alternatives to give a sparse structure of the estimate. We use local quadratic and linear approximations of the penalty function, and the optimization is carried out by using a modified Newton-Raphson algorithm.To illustrate the algorithms and their performance, we apply them to estimate changing parameters of some ARX models. We investigate the convergence, squared error, and sparsity of the methods. The examples indicate that the local linear approximation gives better performance and is more encouraging than the local quadratic approximation.

Place, publisher, year, edition, pages
Piscataway, NJ: IEEE Communications Society, 2011. p. 195-200
National Category
Control Engineering
Research subject
Control Engineering
Identifiers
URN: urn:nbn:se:ltu:diva-27000DOI: 10.1109/ICCA.2011.6137918Local ID: 04c8a927-6dd3-49ac-a249-0c3663d3eb9fISBN: 978-1-4577-1475-7 (print)OAI: oai:DiVA.org:ltu-27000DiVA, id: diva2:1000181
Conference
IEEE International Conference on Control & Automation : 19/12/2011 - 21/12/2011
Projects
Modellering av komplexa dynamiska system
Note
Godkänd; 2012; 20110415 (tgu)Available from: 2016-09-30 Created: 2016-09-30 Last updated: 2017-12-15Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
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Language
  • de-DE
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  • en-US
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  • Other locale
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Output format
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