Title :
Continuous-time identification using LS-method under colored noise perturbations
Author :
Escobar, J. ; Poznyak, A.
Author_Institution :
CINVESTAV-IPN, San Pedro
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;
Conference_Titel :
Decision and Control, 2007 46th IEEE Conference on
Conference_Location :
New Orleans, LA
Print_ISBN :
978-1-4244-1497-0
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2007.4434168
