Continuous-time identification using LS-method under colored noise perturbations

Author

Escobar, J. ; Poznyak, A.

Author_Institution

CINVESTAV-IPN, San Pedro

fYear

2007

fDate

12-14 Dec. 2007

Firstpage

5516

Lastpage

5521

Abstract

This paper deals with time-varying matrix parameter identification in continuous-time stochastic systems with correlated noise. The forming filter, which generates this noise from a standard white noise, is assumed to be partially known (a nominal plant plus a bounded uncertainty). The least squares method with a scalar forgetting factor (LSMFF) is proposed to be applied for the estimation of these parameters. A numerical example illustrates the effectiveness of the proposed approach.

Keywords

least squares approximations; matrix algebra; parameter estimation; perturbation techniques; stochastic systems; white noise; colored noise perturbations; continuous-time stochastic systems; correlated noise; forming filter; least squares method with a scalar forgetting factor; parameter estimation; time-varying matrix parameter identification; white noise; Colored noise; Differential equations; Least squares methods; Mathematical model; Nonlinear dynamical systems; Parameter estimation; Stochastic resonance; Time varying systems; White noise; Wiener filter; Parameter identification; correlated noise; forgetting factor; least squares method; stochastic systems;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 2007 46th IEEE Conference on

Conference_Location

New Orleans, LA

ISSN

0191-2216

Print_ISBN

978-1-4244-1497-0

Electronic_ISBN

0191-2216

Type

conf

DOI

10.1109/CDC.2007.4434168

Filename

4434168