Paper ID sheet UCL-INMA-2009.067

Title

Identification method for time-varying ARX models

Authors

Quentin Rentmeesters, P.-A. Absil, Paul Van Dooren

Abstract

This paper presents a new approach to identify time-varying ARX models by imposing a penalty on the coefficient variation. Two different coefficient normalizations are compared and a method to solve the two corresponding optimization problems is proposed.

Key words

Status

Recent Advances in Optimization and its Applications in Engineering, Springer-Verlag, pp. 193-202, 2010.

Download

• Publisher's version: http://dx.doi.org/10.1007/978-3-642-12598-0_17
• Technical report UCL-INMA-2009-067

BibTeX entry

@INCOLLECTION{RenAbsDoo2010,
 author = "Quentin Rentmeesters and P.-A. Absil and Paul Van Dooren",
 title = "Identification method for time-varying ARX models",
 editor = "Moritz Diehl and Francois Glineur and Elias Jarlebring and Wim Michiels",
 year = 2010,
 pages = "193--202 ",
 booktitle = "Recent Trends in Optimization and its Applications in Engineering",
 subtitle = "The 14th Belgian-French-German Conference on Optimization",
 publisher = {Springer-Verlag},
 doi = "10.1007/978-3-642-12598-0_17",
 isbn = "978-3-642-12597-3",
}