WEIGHTED ESTIMATION AND TRACKING FOR ARMAX MODELS

被引：35

作者：

BERCU, B

机构：

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1995年 / 33卷 / 01期

关键词：

LINEAR SYSTEMS; ESTIMATION; STRONG CONSISTENCY; ADAPTIVE TRACKING;

D O I：

10.1137/S0363012992221803

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

For complex multivariate ARMAX models, the author studies the weighted least squares algorithm which offers, by the choice of suitable weightings, the advantages of both the extended least squares and the stochastic gradient algorithms. Concerning adaptive tracking problems, the strong consistency of the estimator and control optimality are both ensured. Almost sure rates of convergence are also provided.

引用

页码：89 / 106

页数：18