Parameter estimation for grey system models: gradient matching versus integral matching

Baolei Wei

doi:10.1108/GS-03-2022-0029

2022-06-22

PRE

Baolei Wei

Naiming Xie *

Lu Yang

DOI：10.1108/GS-03-2022-0029

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摘要

En 中文

Purpose The cumulative sum (Cusum) operator, also referred to as accumulating generation operator, is the fundamental of grey system models and proves to be successful in various real-world applications. This paper aims to uncover the advantages of the Cusum operator from a parameter estimation perspective, i.e. comparing integral matching with classical gradient matching. Design/methodology/approach Grey system models are represented as a state space form to investigate the effect of measurement errors on estimation performance; subsequently, gradient matching and integral matching are respectively formulated to estimate parameters from noisy observations and, then, their quantitative relationships are established by using matrix computation tricks. Findings Extensive simulations, which are conducted on both linear and non-linear models under different sample size and noise level combinations, show that integral matching is superior to gradient matching, and, also the former is less sensitive to measurement error. Originality/value This paper explains why the Cusum operator is widely utilized in grey system models, thereby further solidifying the mathematical fundamentals of grey system models.

Keyword:

Grey system model

Parameter estimation

Gradient matching

Integral matching

Measurement error