Consiglio Nazionale delle Ricerche

Tipo di prodottoArticolo in rivista
TitoloProbabilistic Optimal Estimation With Uniformly Distributed Noise
Anno di pubblicazione2014
Autore/iDabbene, Fabrizio; Sznaier, Mario; Tempo, Roberto
Affiliazioni autoriCNR-IEIIT; Northeastern University
Autori CNR e affiliazioni
  • inglese
AbstractThe classical approach to system identification is based on stochastic assumptions about the measurement error, and provides estimates that have random nature. Worst-case identification, on the other hand, only assumes the knowledge of deterministic error bounds, and establishes guaranteed estimates, thus being in principle better suited for the use in control design. However, a main limitation of such deterministic bounds lies in their potential conservatism, thus leading to estimates of restricted use. In this paper, we propose a rapprochement between the stochastic and worst-case system identification viewpoints, which is based on the probabilistic setting of information-based complexity. The main idea in this line of research is to "discard" sets of measure at most epsilon, where epsilon is a probabilistic accuracy, from the set of deterministic estimates. Therefore, we are decreasing the so-called worst-case radius of information at the expense of a given probabilistic "risk." In the case of uniformly distributed noise, we derive new computational results, and in particular we compute a trade-off curve, called violation function, which shows how the radius of information decreases as a function of the accuracy. To this end, we construct randomized and deterministic algorithms which provide approximations of this function. We report extensive simulations showing numerical comparisons between the stochastic, worst-case and probabilistic approaches, thus demonstrating the efficacy of the methods proposed in this paper.
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Pagine da2113
Pagine a2127
Pagine totali15
RivistaIEEE transactions on automatic control (Print)
Attiva dal 1963
Editore: Institute of Electrical and Electronics Engineers, - New York, N.Y.
Paese di pubblicazione: Stati Uniti d'America
Lingua: inglese
ISSN: 0018-9286
Titolo chiave: IEEE transactions on automatic control (Print)
Titolo proprio: IEEE transactions on automatic control. (Print)
Titolo abbreviato: IEEE trans. automat. contr. (Print)
Titoli alternativi:
  • Transactions on automatic control (Print)
  • Automatic control (Print)
Numero volume della rivista59
Fascicolo della rivista8
Verificato da referee-
Stato della pubblicazione-
Indicizzazione (in banche dati controllate)
  • ISI Web of Science (WOS) (Codice:000342923700009)
Parole chiaveLeast-squares, linear estimation, optimal algorithms, randomized algorithms, system identification, uncertain systems
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Strutture CNR
  • IEIIT — Istituto di elettronica e di ingegneria dell'informazione e delle telecomunicazioni
Moduli CNR
  • ICT.P07.019.001 : Tecnologie per il controllo su reti di telecomunicazioni
Progetti Europei-