Hybrid system identification via sparse polynomial optimization

Chao Feng, Constantino M. Lagoa, Mario Sznaier

Abstract: In this paper, the problem of identifying discrete time affine hybrid systems with measurement noise is considered. Given a finite collection of measurements and a bound on the noise, the objective is to identify a hybrid system with the smallest number of sub-systems that is compatible with the a priori information. While this problem has been addressed in the literature if the input/output data is noise-free or corrupted by process noise, it remains open for the case of measurement noise. To handle this case, we propose a new approach based on recasting the problem into a polynomial optimization form and exploiting its inherent sparse structure to obtain computationally tractable problems. Combining these ideas with a randomized Hit and Run type approach leads to further computational complexity reduction, allowing for solving realistically sized problems. Numerical examples are provided, illustrating the effectiveness of the algorithm and its potential to handle large size problems.