Parameter identification of ARX models based on modified momentum gradient descent algorithm
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Summary: The parameter estimation problem of the ARX model is studied in this paper. First, some traditional identification algorithms are briefly introduced, and then a new parameter estimation algorithm -- the modified momentum gradient descent algorithm -- is developed. Two gradient directions with their corresponding step sizes are derived in each iteration. Compared with the traditional parameter identification algorithms, the modified momentum gradient descent algorithm has a faster convergence rate. A simulation example shows that the proposed algorithm is effective.
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Cited in
(8)- An improvement of stochastic gradient descent approach for mean-variance portfolio optimization problem
- Parameter estimation method of ARIMA model based on convex combination conjugate gradient
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