Constrained logarithmic least squares in parameter estimation

Authors
Bai, EW Ye, YY
Citation
Ew. Bai et Yy. Ye, Constrained logarithmic least squares in parameter estimation, IEEE AUTO C, 44(1), 1999, pp. 182-186
Citations number
10
Categorie Soggetti
AI Robotics and Automatic Control
Journal title
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
ISSN journal
00189286 → ACNP
Volume
44
Issue
1
Year of publication
1999
Pages
182 - 186
Database
ISI
SICI code
0018-9286(199901)44:1<182:CLLSIP>2.0.ZU;2-4
Abstract
The contribution of this paper is twofold. First, it is shown that while ro bust in terms of the average output error, the least squares estimate is se nsitive to outliers with respect to the maximum output error. In fact the w orst case output error of the least squares can go unbounded. Then, a const rained logarithmic least squares for system identification is proposed. Ana lytic center algorithms are presented to solve this constrained logarithmic least squares problem.