Title :
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
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;
Conference_Titel :
Decision and Control, 1997., Proceedings of the 36th IEEE Conference on
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4187-2
DOI :
10.1109/CDC.1997.657628
