Abstract
An on-line modelling algorithm is derived from a generic stochastic Dual Averaging (DA) method. It employs a negative entropy as a distance-generating function and the Volterra series expansion as a dictionary. Assuming that the measurement data are not <italic xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">i.i.d.</i> but generated by a nonlinear dynamical system with an infinite, exponentially fading memory, the error bounds are established for both the generic DA method and for the proposed modelling algorithm. The experiments performed on a set of benchmark systems confirm the applicability of the algorithm in real-world scenarios and demonstrate its low computational complexity.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.