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Avtomatika i Telemekhanika, 2012, Issue 6, Pages 34–51
(Mi at3812)
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This article is cited in 11 scientific papers (total in 11 papers)
Stochastic Systems, Queuing Systems
On efficient parametric identification methods for linear discrete stochastic systems
Yu. V. Tsyganovaa, M. V. Kulikovab a Ul'yanovsk State University, Ul'yanovsk, Russia
b Lisbon Technical University, Lisbon, Portugal
Abstract:
We construct a numerically stable algorithm (with respect to machine rounding errors) of adaptive Kalman filtering in order to solve the parametric identification problem for linear stationary stochastic discrete systems. We solve the problem in the state space. The proposed algorithm is formulated in terms of an orthogonal square-root covariance filter which lets us avoid a standard implementation of the Kalman filter.
Citation:
Yu. V. Tsyganova, M. V. Kulikova, “On efficient parametric identification methods for linear discrete stochastic systems”, Avtomat. i Telemekh., 2012, no. 6, 34–51; Autom. Remote Control, 73:6 (2012), 962–975
Linking options:
https://www.mathnet.ru/eng/at3812 https://www.mathnet.ru/eng/at/y2012/i6/p34
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Statistics & downloads: |
Abstract page: | 514 | Full-text PDF : | 114 | References: | 45 | First page: | 32 |
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