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Segmentation of ARX systems through SDP-relaxation techniques

Piga, Dario and Tóth, Roland Segmentation of ARX systems through SDP-relaxation techniques. In: ERNSI Workshop 2012, European Research Network on System Identification, September 23 – 25, 2012, Maastricht, The Netherlands (Unpublished) (2012)

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Segmentation of ARX models can be formulated as a combinato- rial minimization problem in terms of the ℓ0-norm of the param- eter variations and the ℓ2-loss of the prediction error. A typical approach to compute an approximate solution to such a prob- lem is based on ℓ1-relaxation. Unfortunately, evaluation of the level of accuracy of the ℓ1-relaxation in approximating the opti- mal solution of the original combinatorial problem is not easy to accomplish. In this poster, an alternative approach is proposed which provides an attractive solution for the ℓ0-norm minimiza- tion problem associated with segmentation of ARX models.

Item Type: Conference or Workshop Item (Poster)
Subjects: Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Research Area: Computer Science and Applications
Depositing User: Ms T. Iannizzi
Date Deposited: 08 Jan 2015 11:00
Last Modified: 08 Jan 2015 11:00
URI: http://eprints.imtlucca.it/id/eprint/2432

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