Convergence of hierarchical stochastic gradient identification for transfer function matrix model
The paper is concerned with the parametric identification of a linear discrete-time MIMO stochastic system described by a transfer function matrix model. The system is decomposed into two fictitious partial subsystems with, respectively, vector and matrix parameters. To estimate these parameters, the recursive hierarchical stochastic gradient identification procedure is proposed and examined. It is shown that, for persistently exciting input, the algorithm converges to the true values of system parameters with probability one. The convergence analysis is based on the martingale hyperconvergence theorem.
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- Convergence of stochastic gradient estimation algorithm for multivariable ARX-like systems
- Hierarchical gradient-based identification of multivariable discrete-time systems
- Convergence analysis of the hierarchical least squares algorithm for bilinear-in-parameter systems
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