A Multi-Time-Scale Generalization of Recursive Identification Algorithm for ARMAX Systems
2015 (English)In: IEEE Transactions on Automatic Control, ISSN 0018-9286, E-ISSN 1558-2523, Vol. 60, no 8, 2242-2247 p.Article in journal (Refereed) Published
Recently, Chen (2010) presented a new approach to recursive identification for ARMAX systems, which is a three-stage recursive scheme and assumes independent and identically distributed input signals. Here, we observe that, unless the time scale of the algorithm at one stage is reasonably faster than those at the previous stages, convergence to the true value may not take place. To remedy this issue, this note proposes a multi-time-scale modification of the algorithm in [ 5] such that convergence is achieved. In addition, the new scheme handles a wider class of input signals so that the input can be designed for some purpose. The advantage of the multi-time scale algorithm is verified with numerical examples.
Place, publisher, year, edition, pages
2015. Vol. 60, no 8, 2242-2247 p.
ARMAX models, L-mixing processes, multi-time-scale method, quasi-stationary signals, recursive estimation, stochastic approximation
Electrical Engineering, Electronic Engineering, Information Engineering
IdentifiersURN: urn:nbn:se:kth:diva-172680DOI: 10.1109/TAC.2014.2373711ISI: 000358642500025ScopusID: 2-s2.0-84938375786OAI: oai:DiVA.org:kth-172680DiVA: diva2:850283
QC 201509012015-09-012015-08-272015-09-01Bibliographically approved