A variable projection approach for efficient estimation of RBF-ARX model

The radial basis function network-based autoregressive with exogenous inputs (RBF-ARX) models have much more linear parameters than nonlinear parameters. Taking advantage of this special structure, a variable projection algorithm is proposed to estimate the model parameters more efficiently by eliminating the linear parameters through the orthogonal projection. The proposed method not only substantially reduces the dimension of parameter space of RBF-ARX model but also results in a better-conditioned problem. In this paper, both the full Jacobian matrix of Golub and Pereyra and the Kaufman's simplification are used to test the performance of the algorithm. An example of chaotic time series modeling is presented for the numerical comparison. It clearly demonstrates that the proposed approach is computationally more efficient than the previous structured nonlinear parameter optimization method and the conventional Levenberg-Marquardt algorithm without the parameters separated. Finally, the proposed method is also applied to a simulated nonlinear single-input single-output process, a time-varying nonlinear process and a real multiinput multioutput nonlinear industrial process to illustrate its usefulness.