IEEE Transactions on Automatic Control, Vol.61, No.2, 360-373, 2016
Non-Asymptotic Kernel-Based Parametric Estimation of Continuous-Time Linear Systems
In this paper, a novel framework to address the problem of parametric estimation for continuous-time linear time-invariant dynamic systems is dealt with. The proposed methodology entails the design of suitable kernels of non-anticipative linear integral operators thus obtaining estimators showing, in the ideal case, "non-asymptotic" (i.e., "finite-time") convergence. The analysis of the properties of the kernels guaranteeing such a convergence behaviour is addressed and a novel class of admissible kernel functions is introduced. The operators induced by the proposed kernels admit implementable (i.e., finite-dimensional and internally stable) state-space realizations. Extensive numerical results are reported to show the effectiveness of the proposed methodology. Comparisons with some existing continuous-time estimators are addressed as well and insights on the possible bias affecting the estimates are provided.
Keywords:Bivariate causal non-asymptotic kernels (BC-NK);continuous-time (CT);integral methods (IMs);modulating function (MF);state variable filtering (SVF)