Multi-objective parameter estimation via minimal correlation criterion |
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Authors: | Mrcio FS Barroso Ricardo HC Takahashi Luis A Aguirre |
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Affiliation: | aPrograma de Pós Graduação em Engenharia Elétrica, Universidade Federal de Minas Gerais, Av. Antônio Carlos 6627, 31270-901 Belo Horizonte, MG, Brazil;bDepartamento de Matemática, Universidade Federal de Minas Gerais, Av. Antônio Carlos 6627, 30123-970 Belo Horizonte, MG, Brazil;cDepartamento de Engenharia Eletrônica, Universidade Federal de Minas Gerais, Av. Antônio Carlos 6627, 31270-901 Belo Horizonte, MG, Brazil |
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Abstract: | The paper deals with the problem of parameter estimation using two different sources of information, namely a time series with dynamic data and steady-state data. The new estimator is based on a two-step procedure: first a multi-objective optimization is performed, leading to a set of Pareto-optimal vectors of parameter estimates and, second, a single model is chosen based on the free-run simulation error which is required to be minimally correlated with the model output. The procedure is general in nature and can be applied to any model representation, but for the sake of simplicity, the new procedure is illustrated using NARX polynomial models for which closed formulae for generating the Pareto-set are readily available. Monte Carlo simulation studies suggest that the new estimator, which does not assume any particular noise model, is fairly unbiased even when the conventional least-squares estimator is biased. |
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Keywords: | Nonlinear system identification Decision criterion Parameter estimation Gray-box identification Auxiliary information Multi-objective optimization |
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