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Asymptotic Gain and Search Direction for Recursive Identification Algorithms
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1980 (English)Report (Other academic)
Abstract [en]

Recursive identification algorithms contain a number of "tuning parameters" to be chosen by the user. Two important such choices are the search direction (the direction in which the estimates are updated) and the gain sequence (the step length). In this paper a family of recursive (prediction error) identification algorithms is considered. The asymptotic distribution of the obtained estimates is derived. It is shown that a gain sequence decaying as 1/t and the Gauss-Newton search direction yields optimal asymptotic accuracy (meeting the Cramér-Rao theoretical lower bound). It is also shown that these are essentially the only asymptotic choices of direction and gains that give this optimal accuracy.

Place, publisher, year, edition, pages
Linköping: Linköping University , 1980. , 25 p.
Series
LiTH-ISY-I, ISSN 8765-4321 ; 363
Keyword [en]
Recursive identification algorithms, Gauss-Newton search direction, Cramér-Rao lower bound
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-104514OAI: oai:DiVA.org:liu-104514DiVA: diva2:697311
Available from: 2014-02-17 Created: 2014-02-17 Last updated: 2014-02-17

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Ljung, Lennart

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