Online identification of time‐delay jump Markov autoregressive exogenous systems with recursive expectation‐maximization algorithm

Summary This article considers the identification problem of the jump Markov autoregressive exogenous (JMARX) systems with unknown invariant time‐delay under the framework of recursive expectation‐maximization (REM) algorithm. In this article, a recursive Q‐function is formulated for the JMARX syste...

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Published in:International journal of adaptive control and signal processing Vol. 34; no. 3; pp. 407 - 426
Main Authors: Chen, Xin, Zhao, Shunyi, Liu, Fei
Format: Journal Article
Language:English
Published: Hoboken, USA John Wiley & Sons, Inc 01.03.2020
Wiley Subscription Services, Inc
Subjects:
Algorithms
Computer simulation
Delay
Fermentation
jump Markov system
Matrix algebra
Matrix methods
Maximization
Optimization
parameter identification
recursive EM algorithm
Recursive functions
Transition probabilities
unknown time‐delay
ISSN:0890-6327, 1099-1115
Online Access:Get full text
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Summary:Summary This article considers the identification problem of the jump Markov autoregressive exogenous (JMARX) systems with unknown invariant time‐delay under the framework of recursive expectation‐maximization (REM) algorithm. In this article, a recursive Q‐function is formulated for the JMARX systems, based on which the recursive sufficient statistics are obtained. Then, the parameter vectors, variance, transition probability matrix, and time‐delay are recursively estimated. A numerical example and a simulated continuous fermentation reactor process are employed to illustrate the effectiveness of the proposed algorithm.
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ISSN:0890-6327
1099-1115
DOI:10.1002/acs.3089