Reweighted Least Squares Heuristic for SARX System Identification

Katsumi KONISHI  

IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences   Vol.E95-A   No.9   pp.1627-1630
Publication Date: 2012/09/01
Online ISSN: 1745-1337
DOI: 10.1587/transfun.E95.A.1627
Print ISSN: 0916-8508
Type of Manuscript: LETTER
Category: Systems and Control
system identification,  hybrid systems,  sparse optimization,  

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This letter proposes a simple heuristic to identify the discrete-time switched autoregressive exogenous (SARX) systems. The goal of the identification is to identify the switching sequence and the system parameters of all submodels simultaneously. In this letter the SARX system identification problem is formulated as the l0 norm minimization problem, and an iterative algorithm is proposed by applying the reweighted least squares technique. Although the proposed algorithm is heuristic, the numerical examples show its efficiency and robustness for noise.