On Covariance Modification and Regularization in Recursive Least Squares Identification
1994 (English)In: Proceedings of the 10th IFAC Symposium on System Identification, 1994, 661-666 p.Conference paper (Refereed)
In this paper the relationships between covariance modification and regularization in recursive least squares identification are investigated. An update equation for the information matrix is derived and it is shown how regularization of the information matrix can be expressed as a particular type of covariance matrix modification. The paper also presents an analysis of the effects of a covariance modification for obtaining regularization that was proposed in Salgado et al. (1988)
Place, publisher, year, edition, pages
1994. 661-666 p.
Recursive least squares identification, Tracking, Covariance modification, Regularization
IdentifiersURN: urn:nbn:se:liu:diva-94050ISBN: 978-0080422251OAI: oai:DiVA.org:liu-94050DiVA: diva2:630032
10th IFAC Symposium on System Identification, Copenhagen, Denmark, July, 1994