Adaptive IIR identification of stochastic systems with noisy input-output data

MaRDI QIDQ2731050zbMATH OpenFDO

Authors Wei Xing Zheng

Publication date 23 April 2002

Published in Dynamics of Continuous, Discrete \& Impulsive Systems. Series B. Applications \& Algorithms (Search for Journal in Brave)

zbMATH Keywords

adaptive infinite impulse response identificationbias-eliminated least squareslinear discrete-time systemsnoise variances

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12) Least squares and related methods for stochastic control systems (93E24)

Review text

The paper is concerned with adaptive infinite impulse response (IIR) identification of linear discrete-time systems where both the output and the input are contaminated by zero-mean white measurement noise. By assumption, the noises are mutually independent. The aim is to identify the system parameters from the noisy input-output measurements. The proposed method is based on a numerically efficient procedure for estimating the measurement noise variances and then implementation of the bias-eliminated least squares to solve the estimation problem. The computational aspects and tracking ability of the method are illustrated by means of numerical examples.

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Cited in

(5)

• Stochastic analysis of gradient adaptive identification of nonlinear systems with memory for Gaussian data and noisy input and output measurements
• Exactly stable IIR MIMO identification algorithms
• Stochastic parallel model adaptation: theory and applications to active noise canceling, feedforward control, IIR filtering, and identification
• An adaptive recursive filter for autoregressive inputs
• Adaptive identification of continuous-time systems in the presence of noise

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