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Frequency Domain Tracking Characteristics of Adaptive Algorithms
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.
1987 (English)Report (Other academic)
Abstract [en]

The problem of tracking time-varying linear systems is discussed. The focus is on the model quality in terms of the mean square error (MSE) between the true (momentary) transfer function and the estimated one. This MSE is thus a function of frequency. The exact expression for the MSE is complicated, but simple expressions that are asymptotic in the model order are developed for model structures of finite impulse response (FIR) character. Simulations verify that these simple expressions are quite reliable and insightful even for moderate model orders. Expressions are developed for three basic adaptation algorithms (recursive identification algorithms), viz. the least-mean-squares algorithm, the recursive least-squares algorithm with exponential forgetting, and a tracking algorithm based on the Kalman filter. The results apply both to slowly time-varying systems and to the model recovery after an abrupt change in the system dynamics.

Place, publisher, year, edition, pages
Linköping: Linköping University , 1987. , 47 p.
Series
LiTH-ISY-I, ISSN 8765-4321 ; 868
Keyword [en]
Filtering and prediction theory, Signal detection, Adaptive algorithms
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-104154OAI: oai:DiVA.org:liu-104154DiVA: diva2:694884
Available from: 2014-02-08 Created: 2014-02-08 Last updated: 2014-02-08

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Gunnarsson, SvanteLjung, Lennart

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