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System Identification

Graduate · Historical course

Spring 2005

Topics

  • Review of Linear Systems, Review of Stochastic Processes, Defining a General Framework
  • Review of Linear Systems, Review of Stochastic Processes, Defining a General Framework (cont.)
  • Introductory Examples for System Identification
  • Introductory Examples for System Identification (cont.)
  • Nonparametric Identification
  • Nonparametric Identification (cont.)
  • Input Design, Persistence of Excitation, Pseudo-random Sequences
  • Input Design, Persistence of Excitation, Pseudo-random Sequences (cont.)
  • Least Squares, Statistical Properties
  • Least Squares, Statistical Properties (cont.)
  • Parametrized Model Structures, One-step Predictor, Identifiability
  • Parametrized Model Structures, One-step Predictor, Identifiability (cont.)
  • Parameter Estimation Methods, Minimum Prediction Error Paradigm, Maximum Likelihood
  • Parameter Estimation Methods, Minimum Prediction Error Paradigm, Maximum Likelihood (cont.)
  • Convergence and Consistency, Informative Data, Convergence to the True Parameters
  • Convergence and Consistency, Informative Data, Convergence to the True parameters (cont.)
  • Asymptotic Distribution of PEM
  • Asymptotic Distribution of PEM (cont.)
  • Instrumental Variable Methods, Identification in Closed Loop, Asymptotic Results
  • Instrumental Variable Methods, Identification in Closed Loop, Asymptotic Results (cont.)
  • Computation, Levinson Algorithm, Recursive Estimation
  • Computation, Levinson Algorithm, Recursive Estimation (cont.)
  • Identification in Practice, Error Filtering, Order Estimation, Model Structure Validation, Examples
  • Identification in Practice, Error Filtering, Order Estimation, Model Structure Validation, Examples (cont.)

Readings

  • Ljung, Lennart. System Identification: A Theory for the User . 2nd ed. Upper Saddle River, NJ: Prentice Hall, 1998. ISBN: 0136566952.
    Required
Sources