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arXiv 2404.15098eess.SYcs.LGcs.SY
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输出误差设定下数据驱动输出预测器的不确定性量化

Uncertainty Quantification of Data-Driven Output Predictors in the Output Error Setting

University of Vermont(佛蒙特大学);Catalan Institution for Research and Advanced Studies (ICREA)(加泰罗尼亚研究与高级研究学院(ICREA))

Farzan Kaviani, Ivan Markovsky, Hamid R. Ossareh

AI总结:

本文研究输出误差设定下数据驱动LTI系统输出预测器的不确定性量化,提出两种仅依赖噪声测量值的预测误差上界,并发现去噪启发式虽不提升精度但能提供更通用的误差界。

摘要:

我们在行为设定下重新探讨直接使用离线输入输出数据(且不使用参数化模型)预测 LTI 系统输出的问题。现有工作通过将输入和输出信号的近期样本投影到由离线输入输出数据组成的 Hankel 矩阵的列空间上来计算输出预测。然而,如果离线数据被噪声污染,输出预测将不再精确。虽然一些先前的工作提出通过矩阵低秩近似启发式方法(如截断奇异值分解)来减轻噪声数据的影响,但随之而来的预测精度仍然未被量化。本文填补了这些空白,在噪声相对于离线数据幅度足够小的条件下,引入了预测误差的两个上界。第一个上界涉及直接使用原始离线数据进行预测,而第二个上界适用于低秩近似启发式方法的情况。值得注意的是,这些上界不需要关于系统输出的真实值,仅依赖于具有已知噪声水平和系统阶数的噪声测量值。广泛的数值模拟表明,这两个上界作为噪声水平的函数单调(且线性)递减。此外,我们的结果表明,在输出误差设定下,与直接使用原始数据相比,应用去噪启发式方法通常不会带来更好的预测精度,也不会减小预测误差的上界。然而,它允许得到一个更通用的上界,因为第一个上界要求对 Hankel 矩阵的划分有特定条件。

英文摘要:

We revisit the problem of predicting the output of an LTI system directly using offline input-output data (and without the use of a parametric model) in the behavioral setting. Existing works calculate the output predictions by projecting the recent samples of the input and output signals onto the column span of a Hankel matrix consisting of the offline input-output data. However, if the offline data is corrupted by noise, the output prediction is no longer exact. While some prior works propose mitigating noisy data through matrix low-ranking approximation heuristics, such as truncated singular value decomposition, the ensuing prediction accuracy remains unquantified. This paper fills these gaps by introducing two upper bounds on the prediction error under the condition that the noise is sufficiently small relative to the offline data's magnitude. The first bound pertains to prediction using the raw offline data directly, while the second one applies to the case of low-ranking approximation heuristic. Notably, the bounds do not require the ground truth about the system output, relying solely on noisy measurements with a known noise level and system order. Extensive numerical simulations show that both bounds decrease monotonically (and linearly) as a function of the noise level. Furthermore, our results demonstrate that applying the de-noising heuristic in the output error setup does not generally lead to a better prediction accuracy as compared to using raw data directly, nor a smaller upper bound on the prediction error. However, it allows for a more general upper bound, as the first upper bound requires a specific condition on the partitioning of the Hankel matrix.

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。

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