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Gaussian-Optimal On-Line Parameter Estimation
University of California, Los Angeles, CA, USA.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
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, Published paper (Refereed)
Abstract [en]

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.
Keyword [en]
Gaussian-optimal, On-line parameter estimator, Algorithm, Non-linear filter equations, Convergence
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-102133DOI: 10.1109/CDC.1980.271886OAI: oai:DiVA.org:liu-102133DiVA: diva2:668572
Conference
19th IEEE Conference on Decision and Control including the Symposium on Adaptive Processes, Albuquerque, NM, USA, December, 1980
Available from: 2013-12-01 Created: 2013-12-01 Last updated: 2013-12-01

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Ljung, Lennart

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