Recursive Identification and Adaptive Prediction in Linear Stochastic Systems

DOI10.1137/0329058MaRDI QIDQ3978272zbMATH OpenOpenAlexFDO

Authors Tze Leung Lai, Zhiliang Ying

Publication date 25 June 1992

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0329058

zbMATH Keywords

ARMAX predictorsextended stochastic Lyapunov functionlikelihood algorithmsmartingale limit theorems

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Adaptive control/observation systems (93C40) Identification in stochastic control theory (93E12)

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Cited in

(23)

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• Recursive system identification in the presence of noise and model uncertainties
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• A conversation with Tze Leung Lai
• Stochastic approximation: from statistical origin to big-data, multidisciplinary applications
• Convergence analysis of estimation algorithms for dual-rate stochastic systems
• Recursive parameter method for computing the predicting function of the multivariable ARMAX model
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• Implicit predictive adaptive control with stochastic gradient identifiers
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• Adaptive prediction in the presence of unmodelled dynamics
• Convergence properties of the least squares estimation algorithm for multivariable systems
• Extended least squares and their applications to adaptive control and prediction in linear systems
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• Weighted hierarchical stochastic gradient identification algorithms for ARX models
• Recursive identification algorithms for continuous systems using an adaptive procedure
• Convergence of the recursive identification algorithms for multivariate pseudo-linear regressive systems
• Multi-innovation least squares identification methods based on the auxiliary model for MISO systems
• Performance analysis of stochastic gradient algorithms under weak conditions

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