Sparse system identification for stochastic systems with general observation sequences

doi:10.1016/j.automatica.2020.109162

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	Sparse system identification for stochastic systems with general observation sequences
	Zhao, Wenxiao 1,2; Yin, George 3; Bai, Er-Wei 4
	2020-11-01
发表期刊	AUTOMATICA
ISSN	0005-1098
卷号	121 页码:13
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.
关键词	Stochastic system Sparse identification Feedback control Strong consistency
DOI	10.1016/j.automatica.2020.109162
收录类别	SCI
语种	英语
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
WOS类目	Automation & Control Systems ; Engineering, Electrical & Electronic
WOS记录号	WOS:000571446000009
出版者	PERGAMON-ELSEVIER SCIENCE LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/52230
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.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China 3.Wayne State Univ, Dept Math, Detroit, MI 48202 USA 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.