On the value of information in system identification-Bounded noise case

  • Authors:
  • Eli Fogel;Y. F. Huang

  • Affiliations:
  • The Charles Stark Draper Laboratory, Inc., 555 Technology Square, Cambridge, MA 02139, U.S.A.;Department of Electrical Engineering, Princeton University, Princeton, NJ, U.S.A.

  • Venue:
  • Automatica (Journal of IFAC)
  • Year:
  • 1982

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Abstract

Assuming instantaneous bounds on the noise, system parameter identification is formulated as membership set estimation problem. Sequential algorithms are constructed to estimate the membership sets of the parameters which are consistent with the measurements and the noise constraints. The important new feature of the proposed algorithms is their ability to ignore redundant data. The efficient data extraction property of the new algorithms is achieved with small computational effort and with improved performance when compared to the least square algorithm. The convergence properties and the notion of identifiability in the set theoretic context are also studied.