A new multiple kernel-based regularization method for identification of delay linear dynamic systems

Abstract

Model parameter estimation, model order selection, variable selection and time delay estimation are four important issues that receive increasing interests in dynamic system identification. However, previous work did not solve the four issues simultaneously. Motivated by the multiple kernel-based regularization method (MKRM), this paper proposes a new multiple kernel-based regularization method for joint model parameter estimation, model order selection, variable selection and time delay estimation for delay linear dynamic systems, referred to as the MKRM-D. Then, an efficient iterative reweighted algorithm is derived to solve the resulting difference of convex functions programming (DCP) problem. In addition, by exploiting the structure of the objective function in each iteration of this algorithm, the alternating direction method of multipliers (ADMM) is employed to decompose the centralized problem into a series of independent subproblems with lower variable dimension, which can be solved in a parallel and distributed manner. The performance of the proposed method is demonstrated by numerical experiments using both synthetic and real data.