DocumentCode
1025855
Title
On some asymptotic uncertainty bounds in recursive least squares identification
Author
Gunnarsson, S.
Author_Institution
Dept. of Electr. Eng., Linkoping Univ.
Volume
38
Issue
11
fYear
1993
fDate
11/1/1993 12:00:00 AM
Firstpage
1685
Lastpage
1688
Abstract
This note deals with the performance of the recursive least squares algorithm when it is applied to problems where the measured signal is corrupted by bounded noise. Using ideas from bounding ellipsoid algorithms we derive an asymptotic expression for the bound on the uncertainty of the parameter estimate for a simple choice of design variables. This bound is also transformed to a bound on the uncertainty of the transfer function estimate
Keywords
identification; least squares approximations; transfer functions; asymptotic expression; asymptotic uncertainty bounds; bounded noise; bounding ellipsoid algorithms; parameter estimate uncertainty; recursive least squares identification; transfer function estimate uncertainty; Algorithm design and analysis; Control systems; Least squares methods; Linear systems; Parameter estimation; Resonance light scattering; Signal processing algorithms; Trajectory; Transfer functions; Uncertainty;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.262040
Filename
262040
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