文章基本信息

标题：Multiple Kernel Based Regularized System Identification with SURE Hyper-parameter Estimator
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作者：Shiying Hong ; Biqiang Mu ; Feng Yin 等
期刊名称：IFAC PapersOnLine
印刷版ISSN：2405-8963
出版年度：2018
卷号：51
期号：15
页码：13-18
DOI：10.1016/j.ifacol.2018.09.083
语种：English
出版社：Elsevier
摘要：AbstractIn this work, we study the multiple kernel based regularized system identification with the hyper-parameter estimated by using the Stein’s unbiased risk estimators (SURE). To approach the problem, a QR factorization is first employed to compute SURE’s objective function and its gradient in an efficient and accurate way. Then we propose an algorithm to solve the SURE problem, which contains two parts: the outer optimization part and the inner optimization part. For the outer optimization part, the coordinate descent algorithm is used and for the inner optimization part, the projection gradient algorithm is used. Finally, the efficacy of the proposed algorithm is demonstrated by numerical simulations.
关键词：KeywordsLinear system identificationregularization methodshyper-parameter estimationSUREmultiple kernel