@article{48ee3fdb230443c38dfda4c842a2b6e9,
title = "A Method for Identification of Markovian Jump ARX Processes",
abstract = "In this paper, we address the problem of identification of Markovian jump ARX systems in the case where there is no a priori knowledge on the statistics of the process noise. The only assumptions made are the availability of known upper bounds on the subsystems order and noise level. The proposed method leverages available results to identify the subsystems models and provides a novel way to estimate the transition probability matrix of the switching in the presence of uncertainty. More precisely, since one cannot observe the exact switching sequence, the problem of estimating the transition probability matrix is formulated as a robust optimization problem, where one maximizes the minimum of the probability of all possible switching sequences. We show that this robust optimization problem can be efficiently solved by providing an equivalent convex formulation that can be solved using off-the-shelf software. Several academic examples are provided which illustrate the effectiveness of proposed approach.",
author = "Sarah Hojjatinia and Lagoa, {Constantino M.} and Fabrizio Dabbene",
note = "Funding Information: ★ j=1j=1j=1j=1 WheisunnΩntheownsbuttatecsponsacetantm,othedelmisaxΩinmouwmn,liaΩndelihothoedT(MLPM) ★ This work was partially supported by National Science Foundation Wheis unnΩntheownsbuttatecsponsacetantm,othedel misaxΩinmouwmn,liaΩndelihothoed T(MLPM) ★(NTSFhi)sGwroarnktws CasNpSa-r1t3ia2l9ly42s2upanpdorEteCdCbSy-1N2a0t1io9n73a.lTSchieenwcoerFkoduensdcraitbioedn isstuimnΩantoorwrneqbuuitrecsoenxsptaonnte,nttihaellymgarxoiwmiunmg stlioΩrealgiheoaondd(cMomL)-This work was partially supported by National Science Foundation estimator requires exponentially growing storage and com-isNSthFe)GsorlaentrsesCpNonSs-i1b3il2i9ty42o2fatnhdeEaCuCthSo-1rs20a1n9d73d.oTehsenwootrknedceesscsraibrieldy putational capabilities with the length of the obserΨation isSF)theGsolerantrespsCNonS-1329422sibility ofandtheECCS-1201973authors and do.Thees notworknecessarilydescribed estputaimattionaorlreqcaupairebilities expsonweithntialthely grlengowthingofsttheorageobsanerdΨacom-tion iseptrheesensotlethreesopffoicnisailbviliietwysoofftNheSFa.uthors and does not necessarily peuctoartdio.nInal(cSapwaabrialigtiieestwali.t,h19t7h3e)leonnglythsiomfutlhaetioonbsearrΨeaptiroen-is the sole responsibility of the authors and does not necessarily putational capabilities with the length of the obserΨation represent the official views of NSF. record. In (Sawaragi et al., 1973) only simulations are pre- Publisher Copyright: {\textcopyright} 2017",
year = "2017",
month = jul,
doi = "10.1016/j.ifacol.2017.08.1846",
language = "English (US)",
volume = "50",
pages = "14088--14093",
journal = "IFAC-PapersOnLine",
issn = "2405-8963",
publisher = "IFAC Secretariat",
number = "1",
}