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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.
Series
LiTH-ISY-I, ISSN 8765-4321 ; 123
Keyword [en]
State-space, Dynamical, Stochastic system, Estimation algorithm
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-104466OAI: oai:DiVA.org:liu-104466DiVA: diva2:697137
Available from: 2014-02-17 Created: 2014-02-17 Last updated: 2014-02-17

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Ljung, Lennart

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CiteExportLink to record
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