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Hard frequency-domain model error bounds from least-squares like identification techniques

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2 Author(s)
Wahlberg, B. ; Dept. of Autom. Control, R. Inst. of Technol., Stockholm, Sweden ; Ljung, L.

The problem of deriving so-called hard-error bounds for estimated transfer functions is addressed. A hard bound is one that is sure to be satisfied, i.e. the true system Nyquist plot will be confined with certainty to a given region, provided that the underlying assumptions are satisfied. By blending a priori knowledge and information obtained from measured data, it is shown how the uncertainty of transfer function estimates can be quantified. The emphasis is on errors due to model mismatch. The effects of unmodeled dynamics can be considered as bounded disturbances. Hence, techniques from set membership identification can be applied to this problem. The approach taken corresponds to weighted least-squares estimation, and provides hard frequency-domain transfer function error bounds. The main assumptions used in the current contribution are: that the measurement errors are bounded, that the true system is indeed linear with a certain degree of stability, and that there is some knowledge about the shape of the true frequency response

Published in:

Automatic Control, IEEE Transactions on  (Volume:37 ,  Issue: 7 )

Date of Publication:

Jul 1992

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