Relative Entropy (RE) Based LTI System Modeling Equipped with time delay Estimation and Online Modeling

Abstract

This paper proposes an impulse response modeling in presence of input and noisy output of a linear time-invariant (LTI) system. The approach utilizes Relative Entropy (RE) to choose the optimum impulse response estimate, optimum time delay and optimum impulse response length. The desired RE is the Kulback-Lielber divergence of the estimated distribution from its unknown true distribution. A unique probabilistic validation approach estimates the desired relative entropy and minimizes this criterion to provide the impulse response estimate. Classical methods have approached this system modeling problem from two separate angles for the time delay estimation and for the order selection. Time delay methods focus on time delay estimate minimizing various proposed criteria, while the existing order selection approaches choose the optimum impulse response length based on their proposed criteria. The strength of the proposed RE based method is in using the RE based criterion to estimate both the time delay and impulse response length simultaneously. In addition, estimation of the noise variance, when the Signal to Noise Ratio (SNR) is unknown is also concurrent and is based on optimizing the same RE based criterion. The RE based approach is also extended for online impulse response estimations. The online method reduces the model estimation computational complexity upon the arrival of a new sample. The introduced efficient stopping criteria for this online approaches is extremely valuable in practical applications. Simulation results illustrate precision and efficiency of the proposed method compared to the conventional time delay or order selection approaches.Comment: 13 pages, 11 figure