On parameter estimation of the DMC models

DOI10.1080/07362999108809235MaRDI QIDQ3977279zbMATH OpenOpenAlexFDO

Authors K. Yin, Odd Andreas Asbjornsen, George Yin

Publication date 25 June 1992

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999108809235

zbMATH Keywords

extended lest-squarespseudo-linear regression

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12)

Review text

This paper considers the problem of estimating the parameters in models of the following form: \[ y(t)=\sum^ n_{k=1} a_ k[\Delta u(t- k)]+e(t)+c_ 1 e(t-1)+\cdots+ c_ m e(t-m),\tag{*} \] where \(y(t)\), \(u(t)\) and \(e(t)\) are the system's output, input and innovation sequences, respectively, \(\Delta u(t)=u(t)-u(t-1)\), and \(\{a_ k,cg\}\) are the parameters to be determined from input-output measurements. The algorithm used for parameter estimation is the so-called adaptive (or recursive) pseudo-linear regression (also called extended lest-squares). The convergence of this algorithm is established under the usual ``positive real condition. When \(c_ i=0\) \((i=1,\dots,m)\) in (*), the pseudo-linear regression reduces to the simple recursive least-squares (RLS) algorithm. The paper also establishes the asymptotic normal distribution of the estimates obtained with the RLS. The paper's results appear to be special cases of the more general results on the recursive estimation of the parameters in ARMAX and ARX systems, that are available in the control and time series literature.

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Cites work

• A stopping rule for least-squares identification
• Convergence rate of least-squares identification and adaptive control for stochastic systems†
• scientific article; zbMATH DE number 3878095 (Why is no real title available?)
• scientific article; zbMATH DE number 4160608 (Why is no real title available?)
• scientific article; zbMATH DE number 3997615 (Why is no real title available?)
• Model predictive control: Theory and practice - a survey
• On parameter estimation of the DMC models

Cited in

(2)

• A Recursive Algorithm for Adaptive Estimation and Parameter Change Detection of Time Series Models
• On parameter estimation of the DMC models

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