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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. (2007) A comparative study on global wavelet and polynomial models for nonlinear regime-switching systems. International Journal of Modelling Identification and Control, 2 (4). pp. 273-282. ISSN 1746-6172

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Abstract

A comparative study of wavelet and polynomial models for non-linear Regime-Switching (RS) systems is carried out. RS systems, considered in this study, are a class of severely non-linear systems, which exhibit abrupt changes or dramatic breaks in behaviour, due to RS 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 generalisation properties, for describing severely non-linear RS systems.

Item Type: Article
Copyright, Publisher and Additional Information: © 2007 Inderscience. This is an author produced version of a paper subsequently published in International journal of Modelling identification and control. Uploaded in accordance with the publisher's self-archiving policy.
Keywords: NARX models, nonlinear autoregressive with exogenous, non-linear system identification, nonlinear regime-switching systems; wavelets, polynomial models
Academic Units: The University of Sheffield > Faculty of Engineering (Sheffield) > Department of Automatic Control and Systems Engineering (Sheffield)
Depositing User: Miss Anthea Tucker
Date Deposited: 30 Apr 2009 09:51
Last Modified: 08 Feb 2013 16:58
Published Version: http://dx.doi.org/10.1504/IJMIC.2007.016410
Status: Published
Publisher: Inderscience Publishers
Refereed: Yes
Identification Number: 10.1504/IJMIC.2007.016410
URI: http://eprints.whiterose.ac.uk/id/eprint/8549

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