Estimator selection: End-performance metric aspects

Research output: Chapter in Book/Report/Conference proceedingConference contribution


Recently, a framework for application-oriented optimal experiment design has been introduced. In this context, the distance of the estimated system from the true one is measured in terms of a particular end-performance metric. This treatment leads to superior unknown system estimates to classical experiment designs based on usual pointwise functional distances of the estimated system from the true one. The separation of the system estimator from the experiment design is done within this new framework by choosing and fixing the estimation method to either a maximum likelihood (ML) approach or a Bayesian estimator such as the minimum mean square error (MMSE). Since the MMSE estimator delivers a system estimate with lower mean square error (MSE) than the ML estimator for finite-length experiments, it is usually considered the best choice in practice in signal processing and control applications. Within the application-oriented framework a related meaningful question is: Are there endperformance metrics for which the ML estimator outperforms the MMSE when the experiment is finite-length? In this paper, we affirmatively answer this question based on a simple linear Gaussian regression example.

Original languageEnglish (US)
Title of host publicationACC 2015 - 2015 American Control Conference
PublisherInstitute of Electrical and Electronics Engineers Inc.
Number of pages6
ISBN (Electronic)9781479986842
StatePublished - Jul 28 2015
Event2015 American Control Conference, ACC 2015 - Chicago, United States
Duration: Jul 1 2015Jul 3 2015

Publication series

NameProceedings of the American Control Conference
ISSN (Print)0743-1619


Conference2015 American Control Conference, ACC 2015
Country/TerritoryUnited States

ASJC Scopus subject areas

  • Electrical and Electronic Engineering


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