Title :
Parameter estimation in jump linear discrete systems
Author_Institution :
Dept. of Decision Sci., Nat. Univ. of Singapore, Singapore
Abstract :
We propose a new approach to identify the parameters in a linear discrete dynamic system subject to abrupt random state changes. The parameter estimation of the system is formulated as an optimization problem. The identification algorithms comprising state regime classification and parameter estimation are developed. Due to the combinatorial nature of the problem, two heuristic iterative algorithms that ensure the decrease of the objective functions are then proposed
Keywords :
discrete systems; iterative methods; linear systems; optimisation; parameter estimation; stochastic systems; abrupt random state changes; heuristic iterative algorithms; identification; jump linear discrete systems; objective functions; optimization; parameter estimation; Difference equations; Estimation error; Heuristic algorithms; Least squares approximation; Linear systems; Parameter estimation; Recursive estimation; Robustness; Solid modeling; Statistics;
Conference_Titel :
Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on
Conference_Location :
San Antonio, TX
Print_ISBN :
0-7803-1298-8
DOI :
10.1109/CDC.1993.325147
