liu.seSearch for publications in DiVA
Change search
ReferencesLink to record
Permanent link

Direct link
Convergence of an Adaptive Filter Algorithm
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1976 (English)Report (Other academic)
Abstract [en]

A state-space representation of a dynamical, stochastic system is given. A corresponding model, parametrized in a particular way, is considered and an algorithm for the estimation of its parameters is analysed. The class of estimation algorithms thus considered contains general output error methods and model reference methods applied to stochastic systems. It also contains adaptive filtering schemes and, e.g. the extended least squares method.

It is shown that if a certain transfer function associated with the true system is positive real, then the estimation algorithm converges with probability 1 to a value that gives a correct input-output model.

Place, publisher, year, edition, pages
Linköping: Linköping University , 1976.
LiTH-ISY-I, ISSN 8765-4321 ; 123
Keyword [en]
State-space, Dynamical, Stochastic system, Estimation algorithm
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-104466OAI: diva2:697137
Available from: 2014-02-17 Created: 2014-02-17 Last updated: 2014-02-17

Open Access in DiVA

No full text

Search in DiVA

By author/editor
Ljung, Lennart
By organisation
Automatic ControlThe Institute of Technology
Control Engineering

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 22 hits
ReferencesLink to record
Permanent link

Direct link