An on-line parameter estimator for quick convergence and time-varying linear systems

A recursive algorithm called 3-OM (third order moment method) is presented to estimate parameters and noise variances for discrete-time linear stochastic systems. The unprojected version of 3-OM is globally convergent with probability 1 to minima of the asymptotic negative log-likelihood function. 3...

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Bibliographic Details
Published inIEEE transactions on automatic control Vol. 45; no. 10; pp. 1854 - 1863
Main Authors Wiberg, Donald M, Powell, Thomas D, Ljungquist, Dag
Format Journal Article
LanguageEnglish
Published 01.10.2000
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Summary:A recursive algorithm called 3-OM (third order moment method) is presented to estimate parameters and noise variances for discrete-time linear stochastic systems. The unprojected version of 3-OM is globally convergent with probability 1 to minima of the asymptotic negative log-likelihood function. 3-OM approximates the quick convergence attained by the optimal nonlinear filter used as a parameter estimator. The state-space form of 3-OM permits application to time-varying linear systems and to on-line tuning of a Kalman filter. (Author)
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ISSN:0018-9286
DOI:10.1109/TAC.2000.880986