Direct and indirect least squares methods in continuous-time parameter estimation

DOI10.1016/0005-1098(87)90027-6MaRDI QIDQ1101058zbMATH OpenOpenAlexWikidataFDO

Authors B. George

Publication date 1987

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0005-1098(87)90027-6

zbMATH Keywords

continuous-timecontinuous-time nonlinear modelsdirect integral least squaresparameter estimationsymmetric bootstrap

Mathematics Subject Classification ID

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

Review text

This paper extends well-established discrete-time parameter estimation techniques to continuous-time nonlinear models. It is shown that, in most cases, the direct integral least squares (DILS) and symmetric bootstrap (SB) estimators are numerically efficient and are statistically sound alternatives to the conventional indirect least squares (ILS) approach. In most applications a few iterations of the SB algorithm, started at the DILS estimates, yield results as good as the computationally more expensive ILS method. Thus the direct approach often results in a considerable saving of computational effort.

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Cited in

(5)

• A continuous-time framework for least squares parameter estimation
• Instrumental variables and LSM in continuous-time parameter estimation
• Direct least-squares estimation and prediction of rational systems: application to food storage
• Direct parameter estimation for linear and non-linear structures
• Identification of linear continuous-time systems under irregular and random output sampling

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