Probabilistic bounds for uncertainty model validation》.pdf

Automatica 43 (2007) 1064–1071 /locate/automatica Brief paper Probabilistic bounds for 1 uncertainty model validation a a ,∗ b Wenguo Liu , Jie Chen , Hossny El-Sherief aDepartment of Electrical Engineering, University of California, Riverside, CA 92521, USA bNorthrop Grumman Corporation, San Bernardino, CA 92402, USA Received 7 January 2005; received in revised form 2 November 2006; accepted 27 November 2006 Available online 19 March 2007 Abstract This paper is concerned with a mixed deterministic/probabilistic model validation problem, which amounts to determining the probability for a given model to reproduce given experimental data. We consider an additive uncertain model, in which the modelling uncertainty is characterized in time domain by the 1 induced system norm. The data available for validation are input–output time series and are assumed to have been corrupted by a random noise. For a given uncertainty norm bound, our objective is to compute the probability for an uncertainty to exist so that it may satisfy the prescribed bound and match the input–output measurements. While the exact computation of this probability poses a formidable task, we derive its upper and lower bounds. This is carried out with respect to noise sequences with Gaussian distribution, and more generally, when o