On the concept of excitation in least squares identification and adaptive control†

DOI10.1080/17442508608833375MaRDI QIDQ3727070zbMATH OpenOpenAlexFDO

Authors Tze Leung Lai, Ching-Zong Wei

Publication date 1986

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508608833375

zbMATH Keywords

identificationmartingale difference sequencesARMAX modelsoccasional excitation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal detection and filtering (aspects of stochastic processes) (60G35) Identification in stochastic control theory (93E12)

Cites work

• A Survey of Some Results in Stochastic Adaptive Control
• Adaptive control with recursive identification for stochastic linear systems
• Asymptotic properties of projections with applications to stochastic regression problems
• Asymptotically Efficient Self-Tuning Regulators
• Asymptotically efficient adaptive control in stochastic regression models
• Counterexamples to general convergence of a commonly used recursive identification method
• Discrete Time Stochastic Adaptive Control
• On positive real transfer functions and the convergence of some recursive schemes
• On self tuning regulators
• Persistence of excitation in extended least squares
• The convergence of AML
• The strong consistency of the stochastic gradient algorithm of adaptive control

Cited in

(15)

• Optimal experimental design and some related control problems
• RLS parameter convergence with overparameterized models
• Learning in linear models with expectational leads
• Partial convergence of extended least squares for insufficiently excited linear systems
• Sparse system identification for stochastic systems with general observation sequences
• Recursive least-squares identification algorithms with incomplete excitation: convergence analysis and application to adaptive control
• A conversation with Tze Leung Lai
• Asymptotically efficient adaptive control in stochastic regression models
• A stochastic gradient-based two-step sparse identification algorithm for multivariate ARX systems
• Learning to predict rationally when beliefs are heterogeneous
• Sparse parameter identification for stochastic systems based on \(L_\gamma\) regularization
• Strong consistency of parameter estimates in direct self-tuning control algorithms based on stochastic approximation
• Almost sure convergence of least squares estimates for regular multivariate ARX systems
• Optimal adaptive control of drug dosing using integral reinforcement learning
• Multi-task sparse identification for closed-loop systems with general observation sequences

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