DocumentCode
697319
Title
An improved version of the Koopmans-levin algorithm
Author
Vajk, I. ; Hetthessy, J.
Author_Institution
Dept. of Autom. & Appl. Inf., Budapest Univ. of Technol. & Econ., Budapest, Hungary
fYear
2001
fDate
4-7 Sept. 2001
Firstpage
1864
Lastpage
1869
Abstract
In this paper two algorithms developed by Koopmans and Levin are discussed in details. One of them eliminates unwanted correlation in the input data by dropping some I/O pairs, while the other has the capability to completely utilize all the available input/output records. As a main result a new estimation algorithm is derived in this paper leading to maximum likelihood estimation and simultaneously utilizing the available input/output records with maximum efficiency. Simulation examples verify the exceptionally good performance of the new algorithm.
Keywords
linear systems; maximum likelihood estimation; I/O pairs; Koopmans-Levin algorithm; estimation algorithm; input data; input/output records; linear system; maximum likelihood estimation; system identification; unwanted correlation elimination; Eigenvalues and eigenfunctions; Heuristic algorithms; Matrix decomposition; Maximum likelihood estimation; Noise; Vectors; Error in variables; linear systems; system identification;
fLanguage
English
Publisher
ieee
Conference_Titel
Control Conference (ECC), 2001 European
Conference_Location
Porto
Print_ISBN
978-3-9524173-6-2
Type
conf
Filename
7076193
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