Recursive identification for EIV ARMAX systems

doi:10.1007/s11432-009-0195-5

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	Recursive identification for EIV ARMAX systems
	Chen HanFu
	2009-11-01
发表期刊	SCIENCE IN CHINA SERIES F-INFORMATION SCIENCES
ISSN	1009-2757
卷号	52 期号:11 页码:1964-1972
摘要	The 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.
关键词	multivariate ARMAX errors-in-variables recursive identification convergence
DOI	10.1007/s11432-009-0195-5
语种	英语
资助项目	National Natural Science Foundation of China[60821091] ; National Natural Science Foundation of China[60874001] ; National Laboratory of Space Intelligent Control
WOS研究方向	Computer Science
WOS类目	Computer Science, Information Systems
WOS记录号	WOS:000272033000003
出版者	SCIENCE PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/8446
专题	系统科学研究所
通讯作者	Chen HanFu
作者单位	Chinese Acad Sci, Key Lab Syst & Control, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 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.