The residual-based ESG algorithm and its performance analysis

DOI10.1016/J.JFRANKLIN.2009.05.008MaRDI QIDQ964326zbMATH OpenOpenAlexFDO

Authors Yongsong Xiao, Feng Ding, Dong-Qing Wang

Publication date 15 April 2010

Published in Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jfranklin.2009.05.008

zbMATH Keywords

convergence propertiesparameter estimationrecursive identificationstochastic approximationstochastic gradient

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12)

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Cites work

• Application of kernel-based stochastic gradient algorithms to option pricing
• Convergence analysis of estimation algorithms for dual-rate stochastic systems
• Extended stochastic gradient identification algorithms for Hammerstein-Wiener ARMAX systems
• General results on the convergence of stochastic algorithms
• Gradient-based identification methods for Hammerstein nonlinear ARMAX models
• Hierarchical gradient-based identification of multivariable discrete-time systems
• scientific article; zbMATH DE number 4066707 (Why is no real title available?)
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
• On consistency of recursive least squares identification algorithms for controlled auto-regression models
• Optimal controller for uncertain stochastic polynomial systems
• Optimal LQG controller for linear stochastic systems with unknown parameters
• Parameter estimation of dual-rate stochastic systems by using an output error method
• Performance analysis of multi-innovation gradient type identification methods
• Rate of Convergence for Constrained Stochastic Approximation Algorithms
• Self-tuning control based on multi-innovation stochastic gradient parameter estimation
• Stochastic adaptive prediction and model reference control
• Stochastic approximation and user adaptation in a competitive resource sharing system
• The residual based extended least squares identification method for dual-rate systems

Cited in

(6)

• A filtering based recursive least squares estimation algorithm for pseudo-linear auto-regressive systems
• Two-stage least squares based iterative estimation algorithm for CARARMA system modeling
• Reduced-rank gradient-based algorithms for generalized coupled Sylvester matrix equations and its applications
• Parameter estimation for a multivariable state space system with \(d\)-step state-delay
• Convergence of multi-innovation ESG parameter estimation algorithms for CARMA models
• Convergence analysis of weighted stochastic gradient identification algorithms based on latest-estimation for ARX models

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