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

Author

Wilberg, D.M. ; Powell, T.D. ; Ljungquist, D.

Author_Institution

Dept. of Electr. Eng., California Univ., Los Angeles, CA, USA

Volume

2

fYear

1997

fDate

10-12 Dec 1997

Firstpage

1259

Abstract

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

Keywords

convergence; image restoration; linear systems; matrix algebra; parameter estimation; real-time systems; time-varying systems; 3-OM recursive algorithm; asymptotic negative log likelihood function; convergence; identification; image restoration; linear systems; parameter estimation; third order moment; time-varying systems; Convergence; Equations; Linear systems; Nonlinear filters; Parameter estimation; Sparse matrices; State estimation; State-space methods; Time varying systems; Transfer functions;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1997., Proceedings of the 36th IEEE Conference on

Conference_Location

San Diego, CA

ISSN

0191-2216

Print_ISBN

0-7803-4187-2

Type

conf

DOI

10.1109/CDC.1997.657628

Filename

657628