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A comparative study on global wavelet and polynomial models for nonlinear regime-switching systems

Wei, H.L. and Billings, S.A. (2006) A comparative study on global wavelet and polynomial models for nonlinear regime-switching systems. Research Report. ACSE Research Report no. 940 . Automatic Control and Systems Engineering, University of Sheffield

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Abstract

A comparative study of wavelet and polynomial models for nonlinear regime-switching (RS) systems is carried out. Regime-switching systems, considered in this study, are a class of severely nonlinear systems, which exhibit abrupt changes or dramatic breaks in behavior, due to regime switching caused by associated events. Both wavelet and polynomial models are used to describe discontinuous dynamical systems, where it is assumed that no a priori information about the inherent model structure and the relative regime switches of the underlying dynamics is known, but only observed input-output data are available. An orthogonal least squares (OLS) algorithm interfered with by an error reduction ratio (ERR) index and regularised by an approximate minimum description length (AMDL) criterion, is used to construct parsimonious wavelet and polynomial models. The performance of the resultant wavelet models is compared with that of the relative polynomial models, by inspecting the predictive capability of the associated representations. It is shown from numerical results that wavelet models are superior to polynomial models, in respect of generalization properties, for describing severely nonlinear regime-switching systems.

Item Type: Monograph (Research Report)
Copyright, Publisher and Additional Information: The Department of Automatic Control and Systems Engineering research reports offer a forum for the research output of the academic staff and research students of the Department at the University of Sheffield. Papers are reviewed for quality and presentation by a departmental editor. However, the contents and opinions expressed remain the responsibility of the authors. Some papers in the series may have been subsequently published elsewhere and you are advised to cite the later published version in these instances.
Keywords: NARX models; Nonlinear system identification; Regime-switching systems; Wavelets.
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Engineering (Sheffield) > Department of Automatic Control and Systems Engineering (Sheffield) > ACSE Research Reports
Depositing User: Miss Anthea Tucker
Date Deposited: 10 Oct 2012 10:08
Last Modified: 26 Jun 2014 14:05
Status: Published
Publisher: Automatic Control and Systems Engineering, University of Sheffield
URI: http://eprints.whiterose.ac.uk/id/eprint/74599

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