Recursive identification for EIV ARMAX systems

doi:10.1007/s11432-009-0195-5

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	Recursive identification for EIV ARMAX systems
	Chen HanFu
刊名	SCIENCE IN CHINA SERIES F-INFORMATION SCIENCES
	2009-11-01
卷号	52 期号:11 页码:1964-1972
关键词	multivariate ARMAX errors-in-variables recursive identification convergence
ISSN号	1009-2757
DOI	10.1007/s11432-009-0195-5
英文摘要	The input u(k) and output y(k) of the multivariate ARMAX system A(z)y(k) = B(z)u(k) + C(z)w(k) are observed with noises: u(k)(ob) (Delta) double under bar u(k) + epsilon(u)(k) and y(k)(ob) (Delta) double under bar y(k) + epsilon(y)(k), where epsilon(u)(k) and epsilon(y)(k) denote the observation noises. Such kind of systems are called errors-in-variables (EIV) systems. In the paper, recursive algorithms based on observations are proposed for estimating coefficients of A(z), B(z), C(z), and the covariance matrix R(w) of w(k) without requiring higher than the second order statistics. The algorithms are convenient for computation and are proved to converge to the system coefficients under reasonable conditions. An illustrative example is provided, and the simulation results are shown to be consistent with the theoretical analysis.
语种	英语
出版者	SCIENCE PRESS
WOS记录号	WOS:000272033000003
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/8445]
专题	系统科学研究所
通讯作者	Chen HanFu
作者单位	Chinese Acad Sci, Key Lab Syst & Control, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Chen HanFu. Recursive identification for EIV ARMAX systems[J]. SCIENCE IN CHINA SERIES F-INFORMATION SCIENCES,2009,52(11):1964-1972.
APA	Chen HanFu.(2009).Recursive identification for EIV ARMAX systems.SCIENCE IN CHINA SERIES F-INFORMATION SCIENCES,52(11),1964-1972.
MLA	Chen HanFu."Recursive identification for EIV ARMAX systems".SCIENCE IN CHINA SERIES F-INFORMATION SCIENCES 52.11(2009):1964-1972.