Time-Varying Parameter Estimation under Stochastic Perturbations Using LSM, Report no. LiTH-ISY-R-3019
نویسندگان
چکیده
In this paper, we deal with the problem of continuous-time timevarying parameter estimation in stochastic systems, under 3 different kinds of stochastic perturbations: additive and multiplicative white noise, and colored noise. The proposed algorithm is based on the Least Squares Method with forgetting factor. Some numerical examples illustrate the effectiveness of the proposed algorithm. An analysis of the estimation error for the system under the 3 different kinds of perturbations is presented.
منابع مشابه
Time-varying parameter estimation under stochastic perturbations using LSM
In this paper, we deal with the problem of continuous-time time-varying parameter estimation in stochastic systems, under three different kinds of stochastic perturbations: additive and multiplicative white noise, and coloured noise. The proposed algorithm is based on the least squares method with forgetting factor. Some numerical examples illustrate the effectiveness of the proposed algorithm....
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تاریخ انتشار 2011