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(Unpublished)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)
Abstract
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.
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