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Course objectives
The aim of this course is to
provide the fundamentals of data based modeling, for students specializing in related areas, such as
control theory and signal processing. Personnel Cristian Rojas, cristian.rojas@ee.kth.se, 08-790 7427 Course literature and software
The course follows the book Lennart Ljung.
System Identification: Theory for the User, Second Edition, 1999. An excellent complement
is Torsten Söderström
and Petre Stoica. System Identification, 1989
(available for download here). The Matlab
toolbox on system identification will be used throughout the course. Venue The lectures will in
general be held in one of the seminar rooms of Floor 3, Osquldas
väg 10, as stated in the schedule below. Schedule Note: The schedule is
preliminary. It will be updated as the course advances.
M. S. Arulampalam, S. Maskell, N.
Gordon and T. Clapp. “A
Tutorial on Particle Filters for Online Nonlinear/Non-Gaussian Bayesian
Tracking”. IEEE Transactions on Signal Processing, Vol. 50(2), pp. 174-188, 2002. E. Chaumette,
J. Galy, A. Quinlan and P. Larzabal.
“A
New Barankin Bound Approximation for the
Prediction of the Threshold Region Performance of Maximum Likelihood
Estimators”. IEEE Transactions on
Signal Processing, Vol. 56(11), pp. 5319-5333, 2008. B. Efron
and C. Morris. “Stein’s
Paradox in Statistics”. Scientific
American, Vol. 236(5), pp.
119-127, 1977. S. Kay and Y. C. Eldar. “Rethinking
Biased Estimation”. IEEE Signal
Processing Magazine, Vol. 25(3), pp. 133-136, 2008. L. Ljung.
“Convergence Analysis
of Parametric Identification Methods”. IEEE Transactions on Automatic Control, Vol. 23(5), pp.
770-783, 1978. L. Ljung.
“On the Estimation
of Transfer Functions”. Automatica, Vol. 21(6), pp. 677-696, 1985. L. Ljung.
“Model
Validation and Model Error Modeling”. In B. Wittenmark and
A. Rantzer (Eds.), The Åström Symposiium
on Control, pp. 15-42, 1999. L. Ljung. “Perspectives on
System Identification”. Annual
Reviews in Control, Vol. 34(1), pp. 1-12, 2010. B. Ninness.
“Some system identification
challenges and approaches”. 15th IFAC Symposium on System Identification, Saint Malo, France, 2009. B. Ninness
and G. C. Goodwin. “Estimation
of Model Quality”. Automatica, Vol. 31(12), pp. 1771-1797, 1995. J. Mårtensson.
Geometric
analysis of stochastic model errors in system identification. PhD
Thesis, KTH, 2007. J. Rissanen.
“Modeling By Shortest Data Description”. Automatica,
Vol. 14(5), pp. 465-471, 1978. T. Söderström.
“On Model Structure Testing in System Identification”. International Journal of Control, Vol. 26(1), pp. 1-18, 1977. T. Söderström.
Computational Methods for Evaluating
Covariance Functions. Notes for a System Identification course, Uppsala
Universitet, 2003. Available here. T. Söderström and P. Stoica. “On
Covariance Function Tests Used in System Identification”. Automatica,
Vol. 26(1), pp. 125-133, 1990. P. Stoica.
“A
Test for Whiteness”. IEEE Transactions
on Automatic Control, Vol. 22(6), pp. 992-993, 1977. P. Stoica,
P. Eykhoff, P. Janssen and T. Söderström.
”Model-Structure Selection by Cross-Validation”. International Journal of Control, Vol. 43(6), pp. 1841-1878,
1986. P. Stoica
and B. Ottersten. “The evil of superefficiency”. Signal Processing, Vol. 55, pp. 133-136, 1996. B. Wahlberg and L. Ljung. “Design variables for bias
distribution in transfer function estimation”. IEEE Transactions on Automatic Control, Vol. 31(2), pp.
134-144, 1986.
Projects To be announced. Examination
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