Frequency-Domain Synthesis of Optimal Inputs for Linear System Parameter Estimation.
HARVARD UNIV CAMBRIDGE MASS DIV OF ENGINEERING AND APPLIED PHYSICS
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The paper formulates the problem of estimating parameters in linear multi-input multi-output dynamic systems as a regression problem in frequency domain. An expression for the information matrix is derived and its properties are studied. A frequency domain condition on the input for the nonsingularity of the information matrix is obtained. It is shown that a deterministic input with a point spectrum can always be found for single input multi-output systems such that it has the same information matrix as a mixed input stochastic and deterministic whose spectrum contains both continuous and discrete parts. A number of different criteria used in the design of regression experiments are stated and their relevance to input design is examined. Modified author abstract
- Statistics and Probability