EE Systems Seminar

Friday June 14, 2013 2:30 PM

Convexity issues in System Identification

Speaker: Lennart Ljung, Electrical Engineerong, Linköping University
Location: Annenberg 105

Abstract:

System Identification is about estimating models of dynamical systems from measured input-output data. Its traditional foundation is basic statistical techniques, such as maximum likelihood estimation and asymptotic analysis of bias and variance and the like. Maximum likelihood estimation relies on minimization of criterion functions that typically are non-convex, and may cause numerical search problems.  Recent interest in identification algorithms has focused on techniques that are centered around convex formulations. This is partly the result of developments in machine learning and statistical learning theory. The development concerns issues of regularization for sparsity and for better tuned bias/variance trade-offs. It also involves the use of subspace methods.  A quite different route to convexity  is to use algebraic techniques manipulate the model parameterizations. This talk will illustrate this recent development.

Series Electrical Engineering Systems Seminar Series

Contact: Shirley Slattery shirley@systems.caltech.edu
For more information visit: http://www.ee2.caltech.edu/calendar/systems-spring.html