Nonlinear system identification employing automatic differentiation
Chaotic Dynamics
2015-07-10 v1
Abstract
An optimization based state and parameter estimation method is presented where the required Jacobian matrix of the cost function is computed via automatic differentiation. Automatic differentiation evaluates the programming code of the cost function and provides exact values of the derivatives. In contrast to numerical differentiation it is not suffering from approximation errors and compared to symbolic differentiation it is more convenient to use, because no closed analytic expressions are required. Furthermore, we demonstrate how to generalize the parameter estimation scheme to delay differential equations, where estimating the delay time requires attention.
Cite
@article{arxiv.1507.02543,
title = {Nonlinear system identification employing automatic differentiation},
author = {Jan Schumann-Bischoff and Stefan Luther and Ulrich Parlitz},
journal= {arXiv preprint arXiv:1507.02543},
year = {2015}
}
Comments
12 pages, 4 figures