The use of nonnegative garrote for order selection of ARX models

Proceedings of the IEEE Conference on Decision and Control

Volumn , Issue , 2008, Pages 1974-1979

  Lyzell, Christian ^a   Roll, Jacob ^a   Ljung, Lennart ^a  

^a LINKÖPING UNIVERSITY   (Sweden)

Author keywords

[No Author keywords available]

Indexed keywords

DYNAMICAL SYSTEMS;

ARX MODEL; LASSO REGRESSIONS; LINEAR REGRESSION MODELS; NON NEGATIVES; ORDER SELECTION; SHRINKAGE METHODS; TIME LAG;

REGRESSION ANALYSIS;

EID: 62949225794     PISSN: 07431546     EISSN: 25762370     Source Type: Conference Proceeding    
DOI: 10.1109/CDC.2008.4738836     Document Type: Conference Paper

References (10)

1. K. Åström and P. Eykhoff. System identification - a survey. Automatica, 7:123-162, 1971.
2. S. Boyd and L. Vandenberghe. Convex Optimization. Cambridge University Press, 2004.
3. L. Breiman. Better subset regression using the nonnegative garrote. Technometrics, 37(4): 373-384, 1995.
4. L. Ljung. System Identification, Theory for the User. Prentice Hall, 1999.
5. S. Niu, L. Ljung, and Å. Björck. Decomposition methods for solving least-squares parameter estimation. IEEE Transactions On Signal Processing, 44(11):2847-2852, 1996.
6. J. Roll. Piecewise linear solution paths for parametric piecewise quadratic programs with application to direct weight optimization. Technical Report LiTH-ISY-R-2816, Linköpings Universitet, 2007. To appear in Automatica.
7. R. Tibshirani. Regression shrinkage and selection via the lasso. J. R. Statist. Soc. B, 58(1):267-288, 1996.
8. P. Tøndel, T.A. Johansen, and A. Bemporad. Further results on multiparametric quadratic programming. In Conference on Decision and Control, pages 3173-3178, Maui, Hawaii, 2003.
9. M. Yuan and Y. Lin. Model selection and estimation in regression with grouped variables. J. R. Statist. Soc. B, 68(1):49-67, 2006.
10. K. Zhoe, J. C. Doyle, and K. Glover. Robust and Optimal Control. Prentice Hall, 1995.