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Sparse kernel regression modeling using combined locally regularized orthogonal least squares and D-optimality experimental design

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3 Author(s)
Chen, S. ; Dept. of Electron. & Comput. Sci., Univ. of Southampton, UK ; Hong, X. ; Harris, C.J.

The note proposes an efficient nonlinear identification algorithm by combining a locally regularized orthogonal least squares (LROLS) model selection with a D-optimality experimental design. The proposed algorithm aims to achieve maximized model robustness and sparsity via two effective and complementary approaches. The LROLS method alone is capable of producing a very parsimonious model with excellent generalization performance. The D-optimality design criterion further enhances the model efficiency and robustness. An added advantage is that the user only needs to specify a weighting for the D-optimality cost in the combined model selecting criterion and the entire model construction procedure becomes automatic. The value of this weighting does not influence the model selection procedure critically and it can be chosen with ease from a wide range of values.

Published in:

Automatic Control, IEEE Transactions on  (Volume:48 ,  Issue: 6 )

Date of Publication:

June 2003

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