Control theory methods for consistency in some least squares identification problems

Author

Duncan, T.E. ; Mandl, P. ; Pasik-Duncan, B.

Author_Institution

Dept. of Math., Kansas Univ., Lawrence, KS, USA

Volume

38

Issue

8

fYear

1993

fDate

8/1/1993 12:00:00 AM

Firstpage

1289

Lastpage

1292

Abstract

The consistency of a family of least-squares estimates of some unknown parameters of a continuous-time linear stochastic system is verified. The unknown parameters appear affinely in the linear transformations of the state and the control. The method of verification of consistency associates a family of control problems to the identification problem, and the asymptotic behavior of the solutions of a family of algebraic Riccati equations from the control problems implies a persistent excitation property for the identification problem

Keywords

least squares approximations; linear systems; parameter estimation; stochastic systems; algebraic Riccati equations; asymptotic behavior; consistency; continuous-time linear stochastic system; least squares identification; least-squares estimates; parameter estimation; persistent excitation; Control systems; Control theory; Differential equations; Least squares approximation; Least squares methods; Mathematics; Parameter estimation; Riccati equations; Stochastic systems; Vectors;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/9.233170

Filename

233170