Title :
Gaussian-optimal on-line parameter estimation
Author :
Wiberg, D.M. ; Ljung, L.
Author_Institution :
University of California, Los Angeles, CA
Abstract :
The gaussian-optimal on-line parameter estimator is presented in both continuous and discrete time. This estimation algorithm is based on the optimal non-linear filter equations under the approximation that both state and parameters have gaussian distributions. Only the first and second conditional moments need be updated, because the fourth order moments are computed from the second order and no other order moments are needed. The convergence of this on-line parameter estimator is analyzed by the method of Ljung.
Keywords :
Convergence; Ferroelectric films; Filtering; Gaussian processes; Intrusion detection; Kalman filters; Nonlinear equations; Parameter estimation; Random access memory; State estimation;
Conference_Titel :
Decision and Control including the Symposium on Adaptive Processes, 1980 19th IEEE Conference on
Conference_Location :
Albuquerque, NM, USA
DOI :
10.1109/CDC.1980.271886
