Hierarchical multi-innovation stochastic gradient identification algorithm for estimating a bilinear state-space model with moving average noise
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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.
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Cited in
(48)- Combined state and parameter estimation for a bilinear state space system with moving average noise
- Recursive parameter identification of the dynamical models for bilinear state space systems
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- scientific article; zbMATH DE number 6830860 (Why is no real title available?)
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