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A Multi-Time-Scale Generalization of Recursive Identification Algorithm for ARMAX Systems
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.ORCID iD: 0000-0002-9368-3079
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
Abstract [en]

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.
Keyword [en]
ARMAX models, L-mixing processes, multi-time-scale method, quasi-stationary signals, recursive estimation, stochastic approximation
National Category
Electrical Engineering, Electronic Engineering, Information Engineering
Identifiers
URN: urn:nbn:se:kth:diva-172680DOI: 10.1109/TAC.2014.2373711ISI: 000358642500025Scopus ID: 2-s2.0-84938375786OAI: oai:DiVA.org:kth-172680DiVA: diva2:850283
Note

QC 20150901

Available from: 2015-09-01 Created: 2015-08-27 Last updated: 2017-12-04Bibliographically approved

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Hjalmarsson, Håkan

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CiteExportLink to record
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  • apa
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  • de-DE
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Output format
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