A multi-model algorithm for parameter estimation of time-varying nonlinear systems

DOI10.1016/S0005-1098(97)00203-3MaRDI QIDQ1295142zbMATH OpenOpenAlexFDO

Authors V. Pereyra, V. Petridis, Athanasios Kehagias

Publication date 2 May 2001

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0005-1098(97)00203-3

zbMATH Keywords

Markovian parametersmulti-model algorithmsystem identificationtime-varying nonlinear systems

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Identification in stochastic control theory (93E12)

Review text

The paper is devoted to a new on-line multi-model algorithm of parameter estimation of time-varying nonlinear systems. The time variation is modeled by assuming that the system parameters are changing according to a Markovian mechanism. In the developed algorithm, a finite number of possible values of the system parameter is allowed. The credit function of each parameter value is recursively computed, according to a predictive accuracy. A convergence analysis of the algorithm is performed. It indicates that the algorithm correctly estimates the parameter value in the time intervals between source switching. This conclusion is validated by numerical examples.

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• Empirical comparison of Box-Jenkins models, artificial neural network and singular spectrum analysis in forecasting time series
• Identification of ARX models with markovian parameters
• TIME VARYING, NONLINEAR AR MODEL IDENTIFICATION: LAINIOTIS' MULTI MODEL METHODOLOGY
• An augmented multiple-model adaptive estimation for time-varying uncertain systems
• Parameter estimation on linear time-varying systems
• Robust adaptive estimation of nonlinear system with time-varying parameters
• Discussion on: ``A stacked model structure for off-line parameter variation estimation in multi-equilibria nonlinear systems
• Augmented flexible least squares algorithm for time‐varying parameter systems
• An optimization approach to adaptive Kalman filtering
• An algorithm to estimate time-varying parameter SURE models under different types of restriction

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