Particle filtering-based recursive identification for controlled auto-regressive systems with quantised output

Recursive prediction error method is one of the main tools for analysis of controlled auto-regressive systems with quantised output. In this study, a recursive identification algorithm is proposed based on the auxiliary model principle by modifying the standard stochastic gradient algorithm. To impr...

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Vydané v:	IET control theory & applications Ročník 13; číslo 14; s. 2181 - 2187
Hlavní autori:	Ding, Jie, Chen, Jiazhong, Lin, Jinxing, Jiang, Guoping
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	The Institution of Engineering and Technology 24.09.2019
Predmet:	autoregressive processes auxiliary model principle auxiliary model‐based controlled auto‐regressive systems discrete random sampling points filtering theory gradient methods invalid particles least squares approximations linear output estimates main tools novel particle filtering technique novel recursive identification algorithm parameter estimation particle filtering (numerical methods) particle filtering technique‐based algorithm particle filtering‐based recursive identification posterior probability density function probability quantised output recursive estimation recursive prediction error method Research Article standard stochastic gradient algorithm stochastic processes linear output estimates least squares approximations controlled auto-regressive systems posterior probability density function standard stochastic gradient algorithm particle filtering technique-based algorithm filtering theory probability particle filtering (numerical methods) novel particle filtering technique autoregressive processes novel recursive identification algorithm quantised output recursive prediction error method recursive estimation parameter estimation main tools invalid particles auxiliary model-based stochastic processes gradient methods discrete random sampling points particle filtering-based recursive identification auxiliary model principle
ISSN:	1751-8644, 1751-8652
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Popis
Shrnutí:	Recursive prediction error method is one of the main tools for analysis of controlled auto-regressive systems with quantised output. In this study, a recursive identification algorithm is proposed based on the auxiliary model principle by modifying the standard stochastic gradient algorithm. To improve the convergence performance of the algorithm, a particle filtering technique, which approximates the posterior probability density function with a weighted set of discrete random sampling points is utilised to correct the linear output estimates. It can exclude those invalid particles according to their corresponding weights. The performance of the particle filtering technique-based algorithm is much better than that of the auxiliary model-based one. Finally, results are verified by examples from simulation and engineering.
ISSN:	1751-8644 1751-8652
DOI:	10.1049/iet-cta.2019.0028