Incremental single shooting - a robust method for the estimation of parameters in dynamical systems

Abstract:
Estimating the parameters of a dynamical system based on measurement data is an important but complex task in industrial and scientific practise (Schittkowski, 2002). Due to it’s importance, different approaches to solve this kind of problem have been developed. The most established ones are single shooting (Bard, 1974), multiple shooting (Bock, 1983) and full discretizatin techniques (Biegler, 1984). Single shooting is the most natural and simple approach to the problem, directly combining numerical integration and optimization techniques. However, for unstable or singular systems the numerical integration of the dynamic model might fail. This problem is especially severe in the framework of parameter estimation, since the dynamic model has to be integrated many times with different parameter estimates. Multiple shooting and full discretization aim at overcoming these deficiencies but suffer from other drawbacks. Therefore single shooting is still widely applied in industry and academia. In this work we present a novel method called Incrementeal Single Shooting or ISS for short, which aims at overcoming the deficiencies of the classical single shooting approach while keeping its advantages.

Keywords:
single shooting, parameter estimation, numerical optimization, least-squares, dynamic parameter estimation

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