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An extended orthogonal forward regression algorithm for system identification using entropy. (English) Zbl 1152.93507
Summary: In this paper, a fast identification algorithm for non-linear dynamic stochastic system identification is presented. The algorithm extends the classical orthogonal forward regression (OFR) algorithm so that instead of using the error reduction ratio (ERR) for term selection, a new optimality criterion, Shannon’s entropy power reduction ratio (EPRR), is introduced to deal with both Gaussian and non-Gaussian signals. It is shown that the new algorithm is both fast and reliable and examples are provided to illustrate the effectiveness of the new approach.

MSC:
93E12 Identification in stochastic control theory
94A17 Measures of information, entropy
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