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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)In: Proceedings of the 11th IFAC Symposium on System Identification, 1997, Vol. 4, 1759-1764 p.Conference paper, Published paper (Refereed)
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
1997. Vol. 4, 1759-1764 p.
Keyword [en]
Recursive identification, Estimation, Kalman filter, RLS, LMS, Noise sensivity, Adaptive algorithms
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-93780ISBN: 0080425925 (print)OAI: oai:DiVA.org:liu-93780DiVA: diva2:627955
Conference
11th IFAC Symposium on System Identification, Fukuoka, Japan, July, 1997
Available from: 2013-06-13 Created: 2013-06-10 Last updated: 2013-08-26

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Ljung, Lennart

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