On exponential convergence and robustness of least-squares identification
type: Item
instance of: scholarly article
title: On exponential convergence and robustness of least-squares identification
zbMATH Open document ID: 0617.93070
DOI: 10.1016/0167-6911(87)90099-5
author: Markku T. Nihtilä
published in: Systems \& Control Letters
publication date: 1987-01-01T00:00:00Z
review text: This paper considers the exponentially-weighted least-squares (EWLS) estimation of the parameters in linear regression models. Its main results are: a) In the noise-free case the exponential convergence of the EWLS estimator is shown under an extended persistency-of-excitation condition; b) The exponential convergence in the noise-free case does not necessarily imply convergence in (bounded) noise; the basic assumption under which this non-robustness result is shown is that the regression vector is not persistently exciting (in the standard sense).
Mathematics Subject Classification ID: 93E12
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 93E10
Mathematics Subject Classification ID: 62F35
zbMATH DE Number: 4002011
zbMATH Keywords: exponentially-weighted least-squares (EWLS) estimation
zbMATH Keywords: linear regression models
zbMATH Keywords: exponential convergence
zbMATH Keywords: extended persistency-of-excitation
reviewed by: Petre Stoica
MaRDI profile type: MaRDI publication profile
full work available at URL: 0167-6911(87)90099-5
OpenAlex ID: W2092865761
cites work: Recursive estimation and time-series analysis. An introduction
cites work: Exponential convergence of recursive last squares with exponential forgetting factor
cites work: Robustness of continuous-time adaptive control algorithms in the presence of unmodeled dynamics
cites work: Theory and applications of adaptive control - a survey
cites work: A globally convergent adaptive pole placement algorithm without a persistency of excitation requirement
cites work: Dynamic system identification. Experiment design and data analysis
cites work: Optimal finite-dimensional recursive identification in a polynomial output mapping class
cites work: Robust adaptive control: Conditions for global stability
cites work: Exponential stability of linear equations arising in adaptive identification
cites work: Persistency of excitation in the presence of possibly unbounded signals
cites work: Persistency of excitation for nonminimal models of systems having purely deterministic disturbances
Recommended article: Exponential convergence of recursive last squares with exponential forgetting factor
Recommended article: On exponentially convergent parameter estimation with lack of persistency of excitation
Recommended article: A recursive parameter estimator yielding exponential convergence under sufficient excitation
Recommended article: Exponential convergence of a modified directional forgetting identification algorithm
Recommended article: On parameter convergence in least squares identification and adaptive control
description: scientific article; zbMATH DE number 4002011