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Optimal experiment design for linear systems with input-output constraints |
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| Authors: | Tung Sang Ng, Graham C. Goodwin,Torsten S derstr m |
| Affiliation: | a Department of Electrical Engineering, University of Wollongong, P.O. Box 1144, New South Wales, 2500, Australia b Department of Electrical Engineering, University of Newcastle, New South Wales, 2308, Australia c Department of Automatic Control and Systems Analysis, Institute of Technology, Uppsala University, Uppsala, S-751, 21, Sweden |
| Abstract: | The problem of optimal experiment design for parameter estimation in linear dynamic systems is studied. Results relating to both constrained input and output variances are established. For the case of constrained input variance, it is shown that a D-optimal experiment exists in which the system input is generated externally provided the system and noise transfer functions have no common parameters. For the case of constrained output variance, it is shown that an experiment in which the system input is generated by a combination of a minimum variance control law together with an external set point perturbation is D-optimal for certain classes of systems. Other related results are also presented which illustrate the role of feedback in optimal experiment design. |
| Keywords: | Closed loop systems discrete systems identification, linear systems experimental design |
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