Hierarchical multi-innovation stochastic gradient identification algorithm for estimating a bilinear state-space model with moving average noise (Q2087500)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7604630
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Hierarchical multi-innovation stochastic gradient identification algorithm for estimating a bilinear state-space model with moving average noise |
scientific article; zbMATH DE number 7604630 |
Statements
Hierarchical multi-innovation stochastic gradient identification algorithm for estimating a bilinear state-space model with moving average noise (English)
0 references
21 October 2022
0 references
This article considers simultaneous state and parameter estimation of a bilinear control system with linear observations corrupted by a noise that is the output of a rational transfer function fed by zero mean uncorrelated noise. A state estimator is derived based on Kalman filter and then a parameter estimation scheme is proposed using a hierarchical decomposition and stochastic gradient descent, using multiple innovations processes. Consistency of this scheme is established. Supporting numerical experiments are reported.
0 references
hierarchical parameter estimation
0 references
bilinear control system
0 references
state estimation
0 references
stochastic gradient
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.9060044884681702
0 references
0.8563618659973145
0 references
0.8486506342887878
0 references
0.8466591238975525
0 references
