A sequential least squares algorithm for ARMAX dynamic network identification

Harm H.M. Weerts, Miguel Galrinho, Giulio Bottegal, Håkan Hjalmarsson, Paul M.J.Van den Hof

Research output: Contribution to journalConference articlepeer-review

1 Citation (Scopus)
44 Downloads (Pure)

Abstract

Identification of dynamic networks in prediction error setting often requires the solution of a non-convex optimization problem, which can be difficult to solve especially for large-scale systems. Focusing on ARMAX models of dynamic networks, we instead employ a method based on a sequence of least-squares steps. For single-input single-output models, we show that the method is equivalent to the recently developed Weighted Null Space Fitting, and, drawing from the analysis of that method, we conjecture that the proposed method is both consistent as well as asymptotically efficient under suitable assumptions. Simulations indicate that the sequential least squares estimates can be of high quality even for short data sets.

Original languageEnglish
Pages (from-to)844-849
Number of pages6
JournalIFAC-PapersOnLine
Volume51
Issue number15
DOIs
Publication statusPublished - 1 Jan 2018

Keywords

  • dynamic networks
  • identification algorithm
  • least squares
  • System identification

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