“Constrained and regularized system identification”

Authors: Tor A. Johansen,
Affiliation: NTNU, Department of Engineering Cybernetics
Reference: 1998, Vol 19, No 2, pp. 109-116.

Keywords: Regularization, Optimization, Parameter Estimation, Nonlinear Systems

Abstract: Prior knowledge can be introduced into system identification problems in terms of constraints on the parameter space, or regularizing penalty functions in a prediction error criterion. The contribution of this work is mainly an extension of the well known FPE (Final Production Error) statistic to the case when the system identification problem is constrained and contains a regularization penalty. The FPECR statistic (Final Production Error with Constraints and Regularization) is of potential interest as a criterion for selection of both regularization parameters and structural parameters such as order.

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  title={{Constrained and regularized system identification}},
  author={Johansen, Tor A.},
  journal={Modeling, Identification and Control},
  publisher={Norwegian Society of Automatic Control}