Nonparametric algorithms recovering the nonlinearity in Hammerstein systems are examined. The algorithms are based on ordered measurements and on compactly supported functions. The contribution of the note consists in that the probability density function of the input signal does not need to be strictly bounded from zero but can vanish in a finite number of points. In this setting, the convergence is established for nonlinearities being piecewise-Lipschitz functions. It is also verified that for p times locally differentiable nonlinearities, the algorithms attain the convergence rate O(n −2p/(2p+1) ), the best possible nonparametric one. Noteworthy, the rate is not worsened by irregularities of the input probability density function.
IntroductionIn system identification we deal with two kind of knowledge: a priori information, possessed before experiment in a form of the laws governing the behavior of the investigated system or object, and the empirical one, i.e., the measurement data obtained in the experiment. If the former is rich enough, the parametric algorithms are usually employed. Otherwise, one should apply the nonparametric technique (in case when the prior knowledge is not fully validated, one could also consider the semiparametric approach).Considered in this note Hammerstein system identification problem has been a subject of a thorough investigation for many years; see e.g. [6,12] We focus on the system nonlinearity recovery. The nonparametric identification algorithms are of the Gasser-Müller type and use compactly supported kernel or wavelet functions. We examine their convergence conditions for piecewiseLipschitz nonlinearities and convergence rates for the smoother ones. It is verified that the rates are the best possible and, contrary to the Nadaraya-Watson-type algorithms, are not worsened by irregularity of the input signal probability density function. Application of the Gasser-Müller estimate to the Hammerstein system nonlinearity recovery problem was proposed and thoroughly examined in [5].
Identification ProblemThe Hammerstein system is a cascade of a nonlinear static element followed by a linear dynamics; see Fig. 50.1. By m and {k i }, i = 0, . . . , ∞, we denote the nonlinear characteristic and the impulse response of the dynamic part, respectively. Our goal is to recover the nonlinearity from random input-output measurementsof the whole system (as the internal signal W n is, by assumption, not available for measurements). The following assumptions hold:A. The input signal {U n ; n = · · · − 1, 0, 1, 2, . . .} is a stationary white random process with an unknown probability density function f . We assume that −1 ≤ U n ≤ 1 and thatfor all u ∈ [−1, 1], except, maybe, of a finite number of points. B. The nonlinearity m satisfies locally a Lipschitz inequalityfor some unknown c, ε > 0. C. The dynamic subsystem is asymptotically stable, i.e.,. .} is a stationary white random process independent of the input signal and has zero mean and finite variance.The class of locally Lipschitz...