Recursive prediction error algorithms without a stability test

DOI10.1016/0005-1098(80)90009-6MaRDI QIDQ1155576zbMATH OpenOpenAlexFDO

Authors Haim Weiss, John Moore

Publication date 1980

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0005-1098(80)90009-6

zbMATH Keywords

parameter estimationpredictionexponential stabilitycomputational methodsstochastic systemsadaptive systemsKalman gainrecursive prediction error algorithms

Mathematics Subject Classification ID

Adaptive control/observation systems (93C40) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Stochastic stability in control theory (93E15)

Cites work

• scientific article; zbMATH DE number 3788499 (Why is no real title available?)
• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• A theoretical analysis of recursive identification methods
• Analysis of recursive stochastic algorithms
• Asymptotic behavior of the extended Kalman filter as a parameter estimator for linear systems
• Coping with singular transition matrices in estimation and control stability theory†
• Estimation and Feedback in Linear Time-Varying Systems: A Deterministic Theory
• Model approximations via prediction error identification
• Recursive Prediction Error Methods for Adaptive Estimation
• Stability properties of Kalman-Bucy filters

Cited in

(2)

• The modified gain extended Kalman filter and parameter identification in linear systems
• Asymptotically optimum recursive prediction error methods in adaptive estimation and control

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