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Robust optimal experiment design for system identification. (English) Zbl 1282.93087

Summary: This paper develops the idea of min-max robust experiment design for dynamic system identification. The idea of min-max experiment design has been explored in the statistics literature. However, the technique is virtually unknown by the engineering community and, accordingly, there has been little prior work on examining its properties when applied to dynamic system identification. This paper initiates an exploration of these ideas. The paper considers linear systems with energy (or power) bounded inputs. We assume that the parameters lie in a given compact set and optimize the worst case over this set. We also provide a detailed analysis of the solution for an illustrative one parameter example and propose a convex optimization algorithm that can be applied more generally to a discretized approximation to the design problem. We also examine the role played by different design criteria and present a simulation example illustrating the merits of the proposed approach.

MSC:

93B30 System identification
93C05 Linear systems in control theory
90C25 Convex programming
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