Influence of the Initial Covariance Matrix on Recursive LS Estimation of Continuous Models via Generalised Poisson Moment Functionals

This paper presents the results of an investigation on the quality of recursive parameter estimation via the ordinary and normalised Poisson moment functional approach. It is shown that the ordinary and the normalised approach have different requirements for the initial value of the covariance matri...

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Bibliographic Details
Published inIFAC Proceedings Volumes Vol. 27; no. 8; pp. 1585 - 1590
Main Authors Garnier, H., Sibille, P., Spott, T.
Format Journal Article
LanguageEnglish
Published 01.07.1994
Subjects
continuous-time models
Convergence
identification
linear systems
Poisson moment functionals
recursive least-squares
Poisson moment functionals
linear systems
identification
recursive least-squares
continuous-time models
Convergence
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Summary:This paper presents the results of an investigation on the quality of recursive parameter estimation via the ordinary and normalised Poisson moment functional approach. It is shown that the ordinary and the normalised approach have different requirements for the initial value of the covariance matrix in the recursive least-squares estimation algorithm. Correctly initialised, both approaches supply the same results, letting aside numerical problems.
ISSN:1474-6670
DOI:10.1016/S1474-6670(17)47937-7