An optimal volume ellipsoid algorithm for parameter set estimation

Author

Cheung, Man-Fung ; Yurkovich, Stephen ; Passino, Kevin M.

Author_Institution

Dept. of Electr. Eng., Ohio State Univ., Columbus, OH, USA

Volume

38

Issue

8

fYear

1993

fDate

8/1/1993 12:00:00 AM

Firstpage

1292

Lastpage

1296

Abstract

A recursive ellipsoid algorithm is derived for estimating the parameter set of a single-input single-output linear time-invariant system with bounded noise. The algorithm´s objective is to seek the minimal volume ellipsoid bounding the feasible parameter set. Cast in a recursive framework, where a minimal volume ellipsoid results at each recursion, the algorithm extends a result due to Khachian (see Aspvall and Stone, 1980) in which a technique was developed to solve a class of linear programming problems. This extension and application to the parameter set estimation problem have intuitive geometric appeal and are easy to implement. Comparisons are made to the optimal bounding ellipsoid algorithm of Fogel and Huang (1982), and the results are demonstrated through computer simulations

Keywords

linear systems; parameter estimation; bounded noise; linear programming; optimal bounding ellipsoid algorithm; optimal volume ellipsoid algorithm; parameter set estimation; recursive ellipsoid algorithm; single-input single-output linear time-invariant system; Application software; Computer simulation; Convergence; Ellipsoids; Equations; Linear programming; Parameter estimation; Recursive estimation; State estimation; Vectors;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/9.233172

Filename

233172