arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2304.03314eess.SYcs.SY
收藏

基于Lebesgue采样的状态空间连续时间系统辨识的EM算法

An EM Algorithm for Lebesgue-sampled State-space Continuous-time System Identification

Rodrigo A. González, Angel L. Cedeño, María Coronel, Juan C. Agüero, Cristian R. Rojas

AI总结:

本文研究Lebesgue采样下的连续时间状态空间系统辨识,利用输出数据的样本间行为推导出EM算法以估计状态空间和噪声协方差矩阵,并通过Monte Carlo仿真验证了方法的有效性。

摘要:

本文研究受Lebesgue采样影响的状态空间连续时间系统辨识问题。与等距(Riemann)采样不同,Lebesgue采样是在连续时间信号越过固定且均匀划分的阈值时进行测量。本文利用输出数据的样本间行为知识,推导出一种期望最大化(EM)算法,用于估计状态空间和噪声协方差矩阵。为此,我们采用系统的增量离散时间等效形式,从而得到可通过标准滤波和平滑过程计算的连续时间状态空间矩阵的EM迭代。通过Monte Carlo仿真验证了该辨识方法的有效性。

英文摘要:

This paper concerns the identification of continuous-time systems in state-space form that are subject to Lebesgue sampling. Contrary to equidistant (Riemann) sampling, Lebesgue sampling consists of taking measurements of a continuous-time signal whenever it crosses fixed and regularly partitioned thresholds. The knowledge of the intersample behavior of the output data is exploited in this work to derive an expectation-maximization (EM) algorithm for parameter estimation of the state-space and noise covariance matrices. For this purpose, we use the incremental discrete-time equivalent of the system, which leads to EM iterations of the continuous-time state-space matrices that can be computed by standard filtering and smoothing procedures. The effectiveness of the identification method is tested via Monte Carlo simulations.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑