论文标题
数据驱动的建模和控制中的最大似然估计
Maximum Likelihood Estimation in Data-Driven Modeling and Control
论文作者
论文摘要
最近,已经根据Willems的基本引理提出了用于数据驱动的模拟和控制的各种算法。但是,当收集的数据嘈杂时,这些方法会导致数据驱动的模型结构不良。在这项工作中,我们提出了一个最大似然框架,以在存在输出噪声的情况下获得最佳数据驱动模型,即信号矩阵模型。还提出了数据压缩和噪声水平估计方案,以将算法有效地应用于大型数据集和未知的噪声水平场景。基于派生的最佳估计量,开发了系统识别和退化地平线控制的两种方法。第一个标识有限的脉冲响应模型。这种方法改善了最小二乘估计器的限制性假设。第二个将信号矩阵模型应用于预测控制中的预测因子。控制性能显示出比现有数据驱动的预测控制算法更好,尤其是在高噪声水平下。两种方法都表明,派生的估计器提供了一个有希望的框架,将数据驱动算法应用于嘈杂的数据。
Recently, various algorithms for data-driven simulation and control have been proposed based on the Willems' fundamental lemma. However, when collected data are noisy, these methods lead to ill-conditioned data-driven model structures. In this work, we present a maximum likelihood framework to obtain an optimal data-driven model, the signal matrix model, in the presence of output noise. Data compression and noise level estimation schemes are also proposed to apply the algorithm efficiently to large datasets and unknown noise level scenarios. Two approaches in system identification and receding horizon control are developed based on the derived optimal estimator. The first one identifies a finite impulse response model. This approach improves the least-squares estimator with less restrictive assumptions. The second one applies the signal matrix model as the predictor in predictive control. The control performance is shown to be better than existing data-driven predictive control algorithms, especially under high noise levels. Both approaches demonstrate that the derived estimator provides a promising framework to apply data-driven algorithms to noisy data.