Sparse system identification for stochastic systems with general observation sequences
文献类型：期刊论文
| 作者 | Zhao, Wenxiao1,3; Yin, George2; Bai, Er-Wei4 |
| 刊名 | AUTOMATICA
 |
| 出版日期 | 2020-11-01 |
| 卷号 | 121页码:13 |
| 关键词 | Stochastic system Sparse identification Feedback control Strong consistency |
| ISSN号 | 0005-1098 |
| DOI | 10.1016/j.automatica.2020.109162 |
| 英文摘要 | Focusing on identification, this paper develops techniques to reconstruct zero and nonzero elements of a sparse parameter vector theta of a stochastic dynamic system with general observation sequences, including stationary time series and feedback control, for which the current input may depend on the past inputs and outputs, system noises as well as exogenous dithers. First, a sparse parameter identification algorithm is introduced based on L-2 norm with L-1 regularization, where the adaptive weights are adopted in the optimization variables of L-1 term. Second, estimates generated by the algorithm are shown to have both set and parameter convergence. That is, sets of the zero and nonzero elements in the parameter theta can be correctly identified with probability one using a finite number of observations, and further estimates of the nonzero elements converge to the true values almost surely. Third, it is shown that the results are applicable to a large number of applications, including variable selection, open-loop identification, and closed-loop control of stochastic systems. Finally, numerical examples are given to support the theoretical analysis. (C) 2020 Elsevier Ltd. All rights reserved. |
| 资助项目 | National Key Research and Development Program of China[2018YFA0703800] ; National Natural Science Foundation of China[61822312] ; Air Force Office of Scientific Research, USA[FA9550-18-1-0268] ; U.S. National Science Foundation |
| WOS研究方向 | Automation & Control Systems ; Engineering |
| 语种 | 英语 |
| WOS记录号 | WOS:000571446000009 |
| 出版者 | PERGAMON-ELSEVIER SCIENCE LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/52229]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Zhao, Wenxiao |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China 2.Wayne State Univ, Dept Math, Detroit, MI 48202 USA 3.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China 4.Univ Iowa, Dept Elect & Comp Engn, Iowa City, IA 52242 USA |
| 推荐引用方式 GB/T 7714 | Zhao, Wenxiao,Yin, George,Bai, Er-Wei. Sparse system identification for stochastic systems with general observation sequences[J]. AUTOMATICA,2020,121:13. |
| APA | Zhao, Wenxiao,Yin, George,&Bai, Er-Wei.(2020).Sparse system identification for stochastic systems with general observation sequences.AUTOMATICA,121,13. |
| MLA | Zhao, Wenxiao,et al."Sparse system identification for stochastic systems with general observation sequences".AUTOMATICA 121(2020):13. |
入库方式： OAI收割
来源：数学与系统科学研究院
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