Mathematical equivalence of two ellipsoid algorithms for bounded-error estimation

Author

Pronzato, Luc ; Walter, Eric ; Piet-Lahanier, Héléne

Author_Institution

Lab. of Signals & Syst., CNRS, Gif-sur-Yvette, France

fYear

1989

fDate

13-15 Dec 1989

Firstpage

1952

Abstract

Bounded-error estimation aims at characterizing the set of all parameter vectors consistent with prior bounds on the errors between the measurements and model outputs. E. Fogel and Y.F. Huang (Autom., vol.18, no.2, p.229-39, 1982) have proposed a simple recursive construction of a minimal volume ellipsoidal outer bound for this set. The basic Fogel-Huang algorithm is not optimal, and a slight heuristic modification suggested by G. Belforte and B. Bona (Preprints 7th IFAC/IFORS Symp. on Identification and System Parameter Estimation, p.1507-12, 1985) has been shown to yield ellipsoids with smaller volumes. This modified algorithm is proved to be equivalent to an optimal ellipsoid algorithm developed in the context of linear programming

Keywords

computational complexity; parameter estimation; Fogel-Huang algorithm; bounded-error estimation; computational complexity; ellipsoid algorithms; linear programming; mathematical equivalence; minimal volume ellipsoidal outer bound; parameter estimation; Ellipsoids; Heuristic algorithms; Iterative algorithms; Least squares approximation; Least squares methods; Linear programming; Q measurement; State estimation; System identification; Tin;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1989., Proceedings of the 28th IEEE Conference on

Conference_Location

Tampa, FL

Type

conf

DOI

10.1109/CDC.1989.70505

Filename

70505