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Recursive identification for EIV ARMAX systems
Chen HanFu
2009-11-01
Source PublicationSCIENCE IN CHINA SERIES F-INFORMATION SCIENCES
ISSN1009-2757
Volume52Issue:11Pages:1964-1972
AbstractThe input u(k) and output y(k) of the multivariate ARMAX system A(z)y(k) = B(z)u(k) + C(z)w(k) are observed with noises: u(k)(ob) (Delta) double under bar u(k) + epsilon(u)(k) and y(k)(ob) (Delta) double under bar y(k) + epsilon(y)(k), where epsilon(u)(k) and epsilon(y)(k) denote the observation noises. Such kind of systems are called errors-in-variables (EIV) systems. In the paper, recursive algorithms based on observations are proposed for estimating coefficients of A(z), B(z), C(z), and the covariance matrix R(w) of w(k) without requiring higher than the second order statistics. The algorithms are convenient for computation and are proved to converge to the system coefficients under reasonable conditions. An illustrative example is provided, and the simulation results are shown to be consistent with the theoretical analysis.
Keywordmultivariate ARMAX errors-in-variables recursive identification convergence
DOI10.1007/s11432-009-0195-5
Language英语
Funding ProjectNational Natural Science Foundation of China[60821091] ; National Natural Science Foundation of China[60874001] ; National Laboratory of Space Intelligent Control
WOS Research AreaComputer Science
WOS SubjectComputer Science, Information Systems
WOS IDWOS:000272033000003
PublisherSCIENCE PRESS
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/8446
Collection系统科学研究所
Corresponding AuthorChen HanFu
AffiliationChinese Acad Sci, Key Lab Syst & Control, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
Recommended Citation
GB/T 7714
Chen HanFu. Recursive identification for EIV ARMAX systems[J]. SCIENCE IN CHINA SERIES F-INFORMATION SCIENCES,2009,52(11):1964-1972.
APA Chen HanFu.(2009).Recursive identification for EIV ARMAX systems.SCIENCE IN CHINA SERIES F-INFORMATION SCIENCES,52(11),1964-1972.
MLA Chen HanFu."Recursive identification for EIV ARMAX systems".SCIENCE IN CHINA SERIES F-INFORMATION SCIENCES 52.11(2009):1964-1972.
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