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Tracking Time-Varying Systems: Revisiting Some Basic Trade-offs
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1997 (English)Report (Other academic)
Abstract [en]

The trade-off between tracking ability and noise sensitivity inadaptive algorithms is a classical research topic. In this paper we will revisit some of the main results. An input/output view of the archetypical algorithms for recursive identification will be taken, thus enabling the links to H and H2 norms. We will shed some light on the H optimality of the LMS algorithm and also show the corresponding merits of the RLS-type algorithms. Furthermore, the role of the distribution of the noise will be illustrated.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 1997. , 8 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 1944
Keyword [en]
Recursive identication, estimation, Kalman filter, RLS, LMS
Keyword [sv]
Cybernetik Informationsteori, Maskinelement Servomekanismer Automation, Reglerteori, Systemteori
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-55387ISRN: LITH-ISY-R-1944OAI: oai:DiVA.org:liu-55387DiVA: diva2:315995
Available from: 2010-04-29 Created: 2010-04-29 Last updated: 2014-09-16Bibliographically approved

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Ljung, Lennart

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Citation style
  • apa
  • harvard1
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Language
  • de-DE
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  • nn-NB
  • sv-SE
  • Other locale
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Output format
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