Computing the gradient of the auxiliary quality functional in the parametric identification problem for stochastic systems

DOI10.1134/S0005117911090141zbMATH Open1230.93096OpenAlexW2093514267WikidataQ57604788 ScholiaQ57604788MaRDI QIDQ650040FDOQ650040

Authors: J. V. Tsyganova 

Publication date: 25 November 2011

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117911090141

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zbMATH Keywords

linear dynamical systemAuxiliary Quality Functional (AQF) methodidentifying of parameterssquare root covariance filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Identification in stochastic control theory (93E12)

Cites Work

• Factorization methods for discrete sequential estimation
• Title not available (Why is that?)
• Maximum likelihood and prediction error methods
• Numerical aspects of different Kalman filter implementations
• New square-root algorithms for Kalman filtering
• Likelihood Gradient Evaluation Using Square-Root Covariance Filters
• Maximum likelihood estimation using square root information filters
• Maximum likelihood estimation via the extended covariance and combined square-root filters
• On unknown state-dependent noise, modeling errors, and adaptive filtering
• Indirect error control for adaptive filtering
• A square root formulation of the Kalman covariance equations.

Cited In (5)

• Constructing numerically stable Kalman filter-based algorithms for gradient-based adaptive filtering
• A general approach to constructing parameter identification algorithms in the class of square root filters with orthogonal and \(J\)-orthogonal tranformations
• On efficient parametric identification methods for linear discrete stochastic systems
• Differentiating matrix orthogonal transformations
• On the computation of derivatives within LD factorization of parametrized matrices

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