Bayesian and regularization approaches to multivariable linear system identification: the role of rank penalties

29 Sep 2014Giulia PrandoAlessandro ChiusoGianluigi Pillonetto

Recent developments in linear system identification have proposed the use of non-parameteric methods, relying on regularization strategies, to handle the so-called bias/variance trade-off. This paper introduces an impulse response estimator which relies on an $\ell_2$-type regularization including a rank-penalty derived using the log-det heuristic as a smooth approximation to the rank function... (read more)

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