Convergence analysis of estimation algorithms for dual-rate stochastic systems

DOI10.1016/J.AMC.2005.09.048MaRDI QIDQ2493770zbMATH OpenOpenAlexFDO

Authors Feng Ding, Yang Shi, Xiaoping Liu

Publication date 16 June 2006

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2005.09.048

zbMATH Keywords

convergencedifference equationleast squares algorithmmartingale processmultirate systemsnumerical examplesparameter estimationsystem identification

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Review text

First, a deterministic system described by a difference equation is considered. Using a polynomial transformation technique, a dual-rate model is derived. Based on this model, a recursive least squares algorithm is proposed to estimate the parameters and the intersample outputs. The algorithm uses only dual-rate measurement data. Next, a martingale process is formulated. Using the stochastic process theory, the convergence of the parameter estimation given by the proposed algorithm is proved. Two illustrative examples are also presented.

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Cited in

(39)

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