Closed-loop optimal experiment design: The partial correlation approach

@article{Hildebrand2010ClosedloopOE,
title={Closed-loop optimal experiment design: The partial correlation approach},
author={Roland Hildebrand and Michel Gevers and Gabriel Solari},
journal={49th IEEE Conference on Decision and Control (CDC)},
year={2010},
pages={2855-2862}
}

We consider optimal experiment design for parametric prediction error system identification of linear time-invariant systems in closed loop. The optimisation is performed jointly over the controller and the external input. We use a partial correlation approach, i.e. we parameterize the set of “admissible controller” - “external input” pairs by a finite set of matrix-valued trigonometric moments. Our main contribution is twofold. First we derive a description of the set of admissible finite… CONTINUE READING