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Identification method for time-varying ARX Quentin Rentmeesters, P.-A. Absil, and Paul Van Dooren

Summary: Identification method for time-varying ARX
Quentin Rentmeesters, P.-A. Absil, and Paul Van Dooren
D´epartement d'ing´enierie math´ematique
Universit´e catholique de Louvain
B-1348 Louvain-la-Neuve, Belgium
Summary. This paper presents a new approach to identify time-varying ARX mod-
els by imposing a penalty on the coefficient variation. Two different coefficient nor-
malizations are compared and a method to solve the two corresponding optimization
problems is proposed.
1 Introduction
Time-varying processes appear in many applications such as speech process-
ing, time-varying behavior detection (fault detection or wear detection) or
more generally when some parameters of a linear system vary over time. In
this paper, we are interested in time-varying systems identification using an
ARX model of order N - 1:
y(t - i)i(t) =


Source: Absil, Pierre-Antoine - Département d'ingénierie Mathématique, Université Catholique de Louvain


Collections: Mathematics