Constrained logarithmic least squares in parameter estimation

E.-W BAI; YINYU YE

doi:10.1109/9.739123

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Constrained logarithmic least squares in parameter estimation

Journal article

Peer reviewed

Constrained logarithmic least squares in parameter estimation

E.-W BAI and YINYU YE

IEEE transactions on automatic control, Vol.44(1), pp.182-186

1999

DOI: 10.1109/9.739123

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Abstract

This paper first shows that while robust in terms of the average output error, the least squares estimate is sensitive to outliers with respect to the maximum output error. In fact the worst case output error of the least squares can go unbounded. Then, a constrained logarithmic least squares for system identification is proposed. Analytic center algorithms are presented to solve this constrained logarithmic least squares problem.

Applied Sciences

Control theory. Systems

Modelling and identification

Exact sciences and technology

Computer science; control theory; systems

Details

Title: Subtitle: Constrained logarithmic least squares in parameter estimation
Creators: E.-W BAI - Department of Electrical and Computer Engineering, University of Iowa, Iowa City, IA 52242, United States
YINYU YE - Department of Management Science, University of Iowa, Iowa City, IA 52242, United States
Resource Type: Journal article
Publication Details: IEEE transactions on automatic control, Vol.44(1), pp.182-186
Publisher: Institute of Electrical and Electronics Engineers
DOI: 10.1109/9.739123
ISSN: 0018-9286
eISSN: 1558-2523
Language: English
Date published: 1999
Academic Unit: Electrical and Computer Engineering
Record Identifier: 9984083824602771

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