Convergence rates of continuous-time stochastic ELS parameter estimation

DOI10.1109/TAC.1987.1104561MaRDI QIDQ3762200zbMATH OpenFDO

Authors Hanfu Chen, John Moore

Publication date 1987

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.1987.1104561

zbMATH Keywords

continuous-timeConvergence (and divergence) ratesextended least squares (ELS) estimation algorithmsfinite escape timeslinear continuous-time stochastic signal modelsprefiltering

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic properties of parametric estimators (62F12) Probabilistic methods, stochastic differential equations (65C99) Linear systems in control theory (93C05) Multivariable systems, multidimensional control systems (93C35) Estimation and detection in stochastic control theory (93E10)

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• Continuous time stochastic adaptive control: Non-explosion, \(\epsilon\)- consistency and stability
• A note on continuous-time ELS
• Stochastic linear quadratic adaptive control for continuous-time first-order systems
• Adaptive boundary control of stochastic linear distributed parameter systems described by analytic semigroups
• Stochastic adaptive control for continuous-time linear systems with quadratic cost
• LS-based parameter estimation of DARMA systems with uniformly quantized observations
• Factorizations that relax the positive real condition in continuous-time and fast-sampled ELS schemes
• An ordinary differential equation technique for continuous-time parameter estimation
• Parameter estimation of quantized DARMA systems using weighted least squares

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