Informative input design for Kernel-Based system identification

Abstract

This paper discusses the design of input sequence for Kernel-Based system identification. From the Bayesian point of view, the kernel reflects a priori information about the target system, which implies that the information obtained from I/O data differs over kernels. This paper focuses on finding an input sequence which maximizes the information obtained through an observation according to the kernel which is given in advance. As an appropriate measure of such information, the mutual information is adopted. For the given kernel, a concrete procedure is proposed to find the input sequence maximizing the mutual information subject to the input energy constraints. Numerical examples are given to illustrate the effectiveness of the proposed input design. Furthermore, it is shown analytically that the impulse input is optimal for a special class of kernels.