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

A recursive algorithm called 3-OM is presented to estimate parameters and process noise variances for systems in state space form. 3-OM is globally convergent to minima of the asymptotic negative log likelihood function. 3-OM approximates the quick convergence attained by the optimal nonlinear filte...

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Bibliographic Details
Published inProceedings of the 36th IEEE Conference on Decision and Control Vol. 2; pp. 1259 - 1266 vol.2
Main Authors Wilberg, D.M., Powell, T.D., Ljungquist, D.
Format Conference Proceeding
LanguageEnglish
Published IEEE 1997
Subjects
Convergence
Equations
Linear systems
Nonlinear filters
Parameter estimation
Sparse matrices
State estimation
State-space methods
Time varying systems
Transfer functions
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Summary:A recursive algorithm called 3-OM is presented to estimate parameters and process noise variances for systems in state space form. 3-OM is globally convergent 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. In the present form, 3-OM must be coded by the user, because a third-order moment update equation must be algebraically simplified beforehand by a symbolic processor to obtain a tractable computational load while running 3-OM.
ISBN:0780341872
9780780341876
ISSN:0191-2216
DOI:10.1109/CDC.1997.657628