A Least Squares Method for Identification of Feedback Cascade Systems**This work was supported by the European Research Council under the advanced grant LEARN, contract 267381 and by the Swedish Research Council under contract 621-2009-4017.

Abstract

The problem of identification of systems in dynamic networks is considered. Although the prediction error method (PEM) can be applied to the overall system, the non-standard model structure requires solving a non-convex optimization problem. Alternative methods have been proposed, such as instrumental variables and indirect PEM. In this paper, we first consider acyclic cascade systems, and argue that these methods have different ranges of applicability. Then, for a network with feedback connection, we propose an approach to deal with the fact that indirect PEM yields a non-convex problem in that case. A numerical simulation may indicate that this approach is competitive with other existing methods.