Gaussian-Optimal On-Line Parameter Estimation
1980 (English)In: Proceedings of the 19th IEEE Conference on Decision and Control including the Symposium on Adaptive Processes, 1980, 681-683 p.Conference paper (Refereed)
The gaussian-optimal on-line parameter estimator is presented in both continuous and discrete time. This estimation algorithm is based on the optimal non-linear filter equations under the approximation that both state and parameters have gaussian distributions. Only the first and second conditional moments need be updated, because the fourth order moments are computed from the second order and no other order moments are needed. The convergence of this on-line parameter estimator is analyzed by the method of Ljung.
Place, publisher, year, edition, pages
1980. 681-683 p.
Gaussian-optimal, On-line parameter estimator, Algorithm, Non-linear filter equations, Convergence
IdentifiersURN: urn:nbn:se:liu:diva-102133DOI: 10.1109/CDC.1980.271886OAI: oai:DiVA.org:liu-102133DiVA: diva2:668572
19th IEEE Conference on Decision and Control including the Symposium on Adaptive Processes, Albuquerque, NM, USA, December, 1980