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Time-Varying Parameter Estimation under Stochastic Perturbations using LSM
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2012 (English)In: IMA Journal of Mathematical Control and Information, ISSN 0265-0754, E-ISSN 1471-6887, Vol. 29, no 2, 235-258 p.Article in journal (Refereed) Published
Abstract [en]

In this paper, we deal with the problem of continuous-time time-varying parameter estimation in stochastic systems, under three different kinds of stochastic perturbations: additive and multiplicative white noise, and coloured noise. The proposed algorithm is based on the least squares method with forgetting factor. Some numerical examples illustrate the effectiveness of the proposed algorithm. An analysis of the estimation error for the system under the three different kinds of perturbations is presented.

Place, publisher, year, edition, pages
Oxford University Press (OUP): Policy K , 2012. Vol. 29, no 2, 235-258 p.
Keyword [en]
Stochastic systems, Parameter estimation, Least squares method
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-79813DOI: 10.1093/imamci/dnr028ISI: 000305462200005OAI: diva2:544969
Available from: 2012-08-17 Created: 2012-08-14 Last updated: 2013-09-23

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ReferencesLink to record
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