Recursive estimation of bilinear ARX systems with input-error
There is considered the problem of parameter estimation of bilinear ARX systems with noise in the input signals, described by the equations: r
1
2
3
Zi - X b0
Zi - m = X a0
Xi-m + X X c0
X - „V k +^(0, W = Xi + 42(0, m=1 m=0 m=0 k=1 where x
, - unobserved and the observed input variables; Z
- the observed output variable; 4
(i) - noise in the equation; 4
(i) - the noise in the input signal. We propose a recursive algorithm for estimation of parameters, which is a generalization of the method of least squares. It is proved that that under non-restrictive conditions on the signals and noises, the proposed algorithm gives a strongly consistent estimators. The simulation results confirmed the high efficiency of the algorithm.
Keywords
least squares method,
error-in-variable,
bilinear systems,
recursive estimation,
stochastic approximation,
метод наименьших квадратов,
билинейные системы,
помеха наблюдения,
стохастическая аппроксимация,
рекуррентное оцениваниеAuthors
| Ivanov Dmitriy V. | Samara State University of Transport | dvi85@mail.ru |
| Uskov Oleg V. | Samara State University of Transport | quentyn@bk.ru |
Всего: 2
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