Convergence of the forgetting factor algorithm for identifying time-varying stochastic systems (Q2725396)
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scientific article; zbMATH DE number 1619197
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence of the forgetting factor algorithm for identifying time-varying stochastic systems |
scientific article; zbMATH DE number 1619197 |
Statements
27 June 2002
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convergence
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recursive least squares algorithm
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forgetting factor
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identification
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time-varying systems
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covariance matrix
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mean square estimation error
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Convergence of the forgetting factor algorithm for identifying time-varying stochastic systems (English)
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The paper deals with the correction of convergence properties of the recursive least squares algorithm with forgetting factor for the identification of linear single-input single-output time-varying systems. The upper and lower bound of the covariance matrix of the parameter estimate in dependence on the forgetting factor is establised, and the mean square estimation error is evaluated.
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