scientific article; zbMATH DE number 16576

MaRDI QIDQ3973262zbMATH OpenFDO

Authors Alexander Yastrebov

Publication date 26 June 1992

zbMATH Keywords

computer simulationsdifference equationsdiscrete linear control systemsestimation error variation matrix

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03) Identification in stochastic control theory (93E12) Least squares and related methods for stochastic control systems (93E24)

Review text

[For the entire collection see Zbl 0702.00007.] The paper deals with the identification of discrete liner control systems described by difference equations with unknown coefficient matrices. The problem addressed is that of designing an optimal experiment enabling to identify the coefficients by measuring inputs and outputs of the system. Main result stated and proved in the paper is concerned with the design of the optimal identifying experiments based on the recurrent least square method and the minimization of a criterion of the form log det (estimation error variation matrix).

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Cited in

(2)

• To the optimal identification of multivariate systems under perturbations of unknown covariances
• Theory and algorithm of optimal control solution to dynamic system parameters identification. II: Stochastic system parameters identification and application example

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