Balancing Application Relevant and Sparsity Revealing Excitation in Input Design
The maximum absolute correlation between regressors, which is called mutual coherence, plays an essential role in sparse estimation. A regressor matrix whose columns are highly correlated may result from optimal input design, since there is no constraint on the mutual coherence, making it difficult to handle sparse estimation. This paper aims to tackle this issue for fixed denominator models, which include Laguerre, Kautz, and generalized orthonormal basis function expansion models, for example. The paper proposes an optimal input design method where the achieved Fisher information matrix is fitted to the desired Fisher matrix, together with a coordinate transformation designed to make the regressors in the transformed coordinates have low mutual coherence. The method can be used together with any sparse estimation method and any desired Fisher matrix. A numerical study shows its potential for alleviating the problem of model order selection when used in conjunction with, for example, classical methods such as the Akaike Information Criterion.
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