Analysis of a constrained forgetting factor recursive least squares algorithm in system identification

In this paper, we deal with deterministic dominance of stochastic equations. The obtained results lead to the evaluation of tight upper-bounds upon the parameter tracking error of the forgetting factor recursive least squares (RLS) algorithm applied to the identification of time-varying systems.

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Vydáno v:Proceedings of 35th IEEE Conference on Decision and Control Ročník 1; s. 1079 - 1080 vol.1
Hlavní autor: Carrette, P.
Médium: Konferenční příspěvek
Jazyk:angličtina
Vydáno: IEEE 1996
Témata:
Algorithm design and analysis
Equations
Least squares approximation
Least squares methods
Parameter estimation
Recursive estimation
Resonance light scattering
Stochastic processes
System identification
Time varying systems
ISBN:9780780335905, 0780335902
ISSN:0191-2216
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Popis
Shrnutí:In this paper, we deal with deterministic dominance of stochastic equations. The obtained results lead to the evaluation of tight upper-bounds upon the parameter tracking error of the forgetting factor recursive least squares (RLS) algorithm applied to the identification of time-varying systems.
ISBN:9780780335905
0780335902
ISSN:0191-2216
DOI:10.1109/CDC.1996.574645