A new kernel-based approach for linear system identification

@article{Pillonetto2010ANK,
  title={A new kernel-based approach for linear system identification},
  author={Gianluigi Pillonetto and Giuseppe De Nicolao},
  journal={Automatica},
  year={2010},
  volume={46},
  pages={81-93}
}
This paper describes a new kernel-based approach for linear system identification of stable systems. We model the impulse response as the realization of a Gaussian process whose statistics, differently from previously adopted priors, include information not only on smoothness but also on BIBO-stability. The associated autocovariance defines what we call a stable spline kernel. The corresponding minimum variance estimate belongs to a reproducing kernel Hilbert space which is spectrally… CONTINUE READING
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