23 research outputs found
Robust Structured Low-Rank Approximation on the Grassmannian
Over the past years Robust PCA has been established as a standard tool for
reliable low-rank approximation of matrices in the presence of outliers.
Recently, the Robust PCA approach via nuclear norm minimization has been
extended to matrices with linear structures which appear in applications such
as system identification and data series analysis. At the same time it has been
shown how to control the rank of a structured approximation via matrix
factorization approaches. The drawbacks of these methods either lie in the lack
of robustness against outliers or in their static nature of repeated
batch-processing. We present a Robust Structured Low-Rank Approximation method
on the Grassmannian that on the one hand allows for fast re-initialization in
an online setting due to subspace identification with manifolds, and that is
robust against outliers due to a smooth approximation of the -norm cost
function on the other hand. The method is evaluated in online time series
forecasting tasks on simulated and real-world data
A geometric Newton method for Oja's vector field
Newton's method for solving the matrix equation runs
up against the fact that its zeros are not isolated. This is due to a symmetry
of by the action of the orthogonal group. We show how
differential-geometric techniques can be exploited to remove this symmetry and
obtain a ``geometric'' Newton algorithm that finds the zeros of . The
geometric Newton method does not suffer from the degeneracy issue that stands
in the way of the original Newton method
Identification of parallel Wiener-Hammerstein systems with a decoupled static nonlinearity
\u3cp\u3eBlock-oriented models are often used to model a nonlinear system. This paper presents an identification method for parallel Wiener-Hammerstein systems, where the obtained model has a decoupled static nonlinear block. This decoupled nature makes the interpretation of the obtained model more easy. First a coupled parallel Wiener-Hammerstein model is estimated. Next, the static nonlinearity is decoupled using a tensor decomposition approach. Finally, the method is validated on real-world measurements using a custom built parallel Wiener-Hammerstein test system.\u3c/p\u3