Convergence analysis of the least squares identification algorithm with variable forgetting factor for time varying linear systems

Canetti, Rafael - España, Martín D

Resumen:

This paper studies the convergence of the least-squares identification algorithm with a variable forgetting factor. The evolution of the parameter estimator with respect to initial conditions, actual parameter changes and stochastic perturbations is analysed. Bounds on the deterministic and stochastic parts of their estimator error are found and th...


Detalles Bibliográficos
1987
SISTEMAS y CONTROL
Inglés
Universidad de la República
COLIBRI
https://hdl.handle.net/20.500.12008/20869
Acceso abierto
Resumen:
Sumario:This paper studies the convergence of the least-squares identification algorithm with a variable forgetting factor. The evolution of the parameter estimator with respect to initial conditions, actual parameter changes and stochastic perturbations is analysed. Bounds on the deterministic and stochastic parts of their estimator error are found and th...