Information Forgetting Using the Augmented UD Identification Algorithm

Fundamental analysis of information forgetting in recursive identification shows that there are only two basic approaches: relative and absolute forgetting. Using the augimented UD identification (AUDI) algorithm developed by the authors, it is found that all the information pertinent to identificat...

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Bibliographic Details
Published in1993 American Control Conference pp. 796 - 800
Main Authors Niu, Shaohua, Fisher, D. Grant
Format Conference Proceeding
LanguageEnglish
Published IEEE 01.06.1993
Subjects
Algorithm design and analysis
Chemical analysis
Chemical engineering
Covariance matrix
Guidelines
Information analysis
Parameter estimation
Process control
Signal processing algorithms
Weight control
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Summary:Fundamental analysis of information forgetting in recursive identification shows that there are only two basic approaches: relative and absolute forgetting. Using the augimented UD identification (AUDI) algorithm developed by the authors, it is found that all the information pertinent to identification and information forgetting is contained in a single matrix called the information accumulation matrix (IAM). Analysis of the UD factored form of this IAM shows that the effect of the new information contained in the regressor, relative to the information (e.g., parameter values) already contained in the current IAM can be controlled by relative and/or absolute modification of the diagonal D matrix produced by the UDU T factorization. This simplifies the interpretation of new and existing information forgetting approaches and provides a basis for developing effective design guidelines. Also, since AUDI is a least-squares (LS) type algorithm, the basic principles and interpretation carry over to other LS algorithms.
ISBN:0780308603
9780780308602
DOI:10.23919/ACC.1993.4792971