Tracking randomly varying parameters: Analysis of a standard algorithm

DOI10.1007/BF02551377MaRDI QIDQ1176535zbMATH OpenOpenAlexFDO

Authors S. Singh

Publication date 25 June 1992

Published in MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02551377

zbMATH Keywords

Kalman filterlinear stochastic system identification

Mathematics Subject Classification ID

Differential algebra (12H05) Identification in stochastic control theory (93E12)

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Cites work

• A new approach to stochastic adaptive control
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• Adaptive control for time-varying systems: A combination of Martingale and Markov chain techniques
• Consistency of the least-squares identification method
• Convergence rate of least-squares identification and adaptive control for stochastic systems†
• Detectability and Stabilizability of Time-Varying Discrete-Time Linear Systems
• scientific article; zbMATH DE number 3620754 (Why is no real title available?)
• scientific article; zbMATH DE number 3185150 (Why is no real title available?)
• Large deviations and rare events in the study of stochastic algorithms
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
• On strong consistency of least squares identification algorithms
• Problems of identification and control

Cited in

(14)

• Tracking and identification of regime-switching systems using binary sensors
• An approach to identification of variances for radar tracking systems
• Kalman filter with hypothesis testing: A tool for estimating uncertain parameters
• Lp-stability of estimation errors of kalman filter for tracking time-varying parameters
• Estimating time-varying parameters by the Kalman filter based algorithm: stability and convergence
• Tracking algorithm designed by the local asymptotic approach
• Remarks on the mean square tracking error
• A robust algorithm for random parameter tracking
• Stability of Recursive Stochastic Tracking Algorithms
• scientific article; zbMATH DE number 218697 (Why is no real title available?)
• Tracking the output of a poorly known markov process
• Adaptation and tracking in system identification - a survey
• Tradeoff between mean-square and worst-case performances in adaptive filtering. With a discussion by Ali H. Sayed and comments by the authors.
• On Kalman filtering for conditionally Gaussian systems with random matrices

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