System identification: Regime switching, unmodeled dynamics, and binary sensors Original Research Article

This paper is concerned with persistent system identification for plants that are equipped with binary sensors whose unknown parameter is a random process represented by a Markov chain. We treat two classes of problems. In the first class, the parameter is a stochastic process modeled by an irreducible and aperiodic Markov chain with transition rates sufficiently faster than adaptation rates of identification algorithms. In this case, an averaged behavior of the parameter process can be derived from the stationary measure of the Markov chain and can be estimated with empirical measures. Upper and lower error bounds are established that explicitly show impact of unmodeled dynamics. In the second class of problems, the state switches values infrequently. A moving-window maximum a posterior (MAP) algorithm is introduced for tracking the time-varying parameters. Numerical results are presented to illustrate the tracking performance of the MAP algorithm and compare it with the widely used Viterbi algorithm.