A note on the optimal expansion of Volterra models using Laguerre functions
Résumé
This work tackles the problem of expanding Volterra models using Laguerre functions. A strict global optimal solution is derived when each multidimensional kernel of the model is decomposed into a set of independent orthonormal bases, each of which parameterized by an individual Laguerre pole intended for representing the dominant dynamic of the kernel along a particular dimension. It is proved that the solution derived minimizes the upper bound of the squared norm of the error resulting from the practical truncation of the Laguerre series expansion into a finite number of functions. This is an extension of the results in Campello, Favier and Amaral [(2004). Optimal expansions of discrete-time Volterra models using Laguerre functions. Automatica, 40, 815-822.], where an optimal solution was obtained for the usual yet particular case in which a single Laguerre pole is used for expanding a given kernel along all its dimensions. It is also proved that the particular and extended solutions are equivalent to each other when the Volterra kernels are symmetric.