Regularized System Identification

This open access book provides a comprehensive treatment of recent developments in kernel-based identification that are of interest to anyone engaged in learning dynamic systems from data. The reader is led step by step into understanding of a novel paradigm that leverages the power of machine learning without losing sight of the system-theoretical principles of black-box identification. The authors’ reformulation of the identification problem in the light of regularization theory not only offers new insight on classical questions, but paves the way to new and powerful algorithms for a variety of linear and nonlinear problems. Regression methods such as regularization networks and support vector machines are the basis of techniques that extend the function-estimation problem to the estimation of dynamic models. Many examples, also from real-world applications, illustrate the comparative advantages of the new nonparametric approach with respect to classic parametric prediction error methods. The challenges it addresses lie at the intersection of several disciplines so Regularized System Identification will be of interest to a variety of researchers and practitioners in the areas of control systems, machine learning, statistics, and data science. This is an open access book

Identification of stable models via nonparametric prediction error methods

A new Bayesian approach to linear system identification has been proposed in a series of recent papers. The main idea is to frame linear system identification as predictor estimation in an infinite dimensional space, with the aid of regularization/Bayesian techniques. This approach guarantees the identification of stable predictors based on the prediction error minimization. Unluckily, the stability of the predictors does not guarantee the stability of the impulse response of the system. In this paper we propose and compare various techniques to address this issue. Simulations results comparing these techniques will be provided.Comment: number of pages = 6, number of figures =

Kernel-based Impulse Response Identification with Side-Information on Steady-State Gain

In this paper, we consider the problem of system identification when side-information is available on the steady-state (or DC) gain of the system. We formulate a general nonparametric identification method as an infinite-dimensional constrained convex program over the reproducing kernel Hilbert space (RKHS) of stable impulse responses. The objective function of this optimization problem is the empirical loss regularized with the norm of RKHS, and the constraint is considered for enforcing the integration of the steady-state gain side-information. The proposed formulation addresses both the discrete-time and continuous-time cases. We show that this program has a unique solution obtained by solving an equivalent finite-dimensional convex optimization. This solution has a closed-form when the empirical loss and regularization functions are quadratic and exact side-information is considered. We perform extensive numerical comparisons to verify the efficiency of the proposed identification methodology

Absolute integrability of Mercer kernels is only sufficient for RKHS stability

Reproducing kernel Hilbert spaces (RKHSs) are special Hilbert spaces in one-to-one correspondence with positive definite maps called kernels. They are widely employed in machine learning to reconstruct unknown functions from sparse and noisy data. In the last two decades, a subclass known as stable RKHSs has been also introduced in the setting of linear system identification. Stable RKHSs contain only absolutely integrable impulse responses over the positive real line. Hence, they can be adopted as hypothesis spaces to estimate linear, time-invariant and BIBO stable dynamic systems from input-output data. Necessary and sufficient conditions for RKHS stability are available in the literature and it is known that kernel absolute integrability implies stability. Working in discrete-time, in a recent work we have proved that this latter condition is only sufficient. Working in continuous-time, it is the purpose of this note to prove that the same result holds also for Mercer kernels

The Harmonic Analysis of Kernel Functions

Kernel-based methods have been recently introduced for linear system identification as an alternative to parametric prediction error methods. Adopting the Bayesian perspective, the impulse response is modeled as a non-stationary Gaussian process with zero mean and with a certain kernel (i.e. covariance) function. Choosing the kernel is one of the most challenging and important issues. In the present paper we introduce the harmonic analysis of this non-stationary process, and argue that this is an important tool which helps in designing such kernel. Furthermore, this analysis suggests also an effective way to approximate the kernel, which allows to reduce the computational burden of the identification procedure

Kernel-Based Identification with Frequency Domain Side-Information

In this paper, we discuss the problem of system identification when frequency domain side information is available on the system. Initially, we consider the case where the prior knowledge is provided as being the \Hcal_{\infty}-norm of the system bounded by a given scalar. This framework provides the opportunity of considering various forms of side information such as the dissipativity of the system as well as other forms of frequency domain prior knowledge. We propose a nonparametric identification method for estimating the impulse response of the system under the given side information. The estimation problem is formulated as an optimization in a reproducing kernel Hilbert space (RKHS) endowed with a stable kernel. The corresponding objective function consists of a term for minimizing the fitting error, and a regularization term defined based on the norm of the impulse response in the employed RKHS. To guarantee the desired frequency domain features defined based on the prior knowledge, suitable constraints are imposed on the estimation problem. The resulting optimization has an infinite-dimensional feasible set with an infinite number of constraints. We show that this problem is a well-defined convex program with a unique solution. We propose a heuristic that tightly approximates this unique solution. The proposed approach is equivalent to solving a finite-dimensional convex quadratically constrained quadratic program. The efficiency of the discussed method is verified by several numerical examples