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A Result of the Mean Square Error Obtained using General Tracking Algorithms
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Université Paris VI, France.
1991 (English)Report (Other academic)
Abstract [en]

Tracking time-varying properties is of crucial importance in all adaptive algorithms. In this contribution we study a fairly general algorithm for tracking properties of model parameters that can be described in a linear regression form (including AR models and the like). An explicit expression for the mean square error between the estimated and the true (time-varying) parameter is established. For slow adaptation this expression can be arbitrarily well approximated by a much simpler expression. The treatment differs from other related studies using weak convergence theory, averaging, etc. in that the results are not asymptotic in nature and are applicable also to the transient phase as well as over unbounded time intervals.

Place, publisher, year, edition, pages
Linköping: Linköping University , 1991.
LiTH-ISY-I, ISSN 8765-4321 ; 1185
Keyword [en]
Adaptation, Recursive estimation, Tracking, Error analysis
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-55344OAI: diva2:316039
Available from: 2010-04-29 Created: 2010-04-29 Last updated: 2013-07-28

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Ljung, Lennart
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Automatic ControlThe Institute of Technology
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