Estimation of model quality

This paper provides an introduction to recent work on the problem of quantifying errors in the estimation of models for dynamic systems. This is a very large field. We therefore concentrate on approaches that have been motivated by the need for reliable models for control system design. This will involve a discussion of efforts that go under the titles of ‘estimation in tH∞’, ‘worst-case estimation’, ‘estimation in l1’ and ‘stochastic embedding of undermodelling’. A central theme of this survey is to examine these new methods with reference to the classic bias/variance tradeoff in model structure selection.

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