Global convergence of output error recursions in colored noise

• Published in: IEEE transactions on automatic control Vol. 27; no. 6; pp. 1189 - 1199
• Main Author: Moore, J.
• Format: Journal Article
• Language: English
• Published: IEEE 01.12.1982
• Subjects: Adaptive estimation; Adaptive filters; Additive noise; Colored noise; Computational efficiency; Convergence; Instruments; Noise measurement; Predictive models
• ISSN: 0018-9286
• DOI: 10.1109/TAC.1982.1103100

This paper presents a variation on a known extended least-squares algorithm of the "output error" or "parallel model" type. Under reasonable conditions, the algorithms achieve global convergence of the one-step-ahead prediction error to the additive independent (possible colored) measurement noise. The convergence of the algorithms proposed is not critically sensitive to the color in the noise, as are related extended least-squares schemes, which require a simultaneous noise model identification. The algorithms are also simpler to implement than for the competing schemes. In the paper an add-on scheme is also studied which consists of additional processing of the prediction errors to achieve simultaneous noise model identification and improved prediction. Such a scheme is attractive from the computational cost point of view. Global convergence results are developed for the algorithms based on martingale convergence theorems as in earlier theories for extended least-squares schemes. The key contribution of the paper as far as the theory is concerned is to show how to cope with the colored noise in the martingale framework.