Convergence of the forgetting factor algorithm for identifying time-varying stochastic systems
type: Item
instance of: scholarly article
zbMATH Open document ID: 0987.93075
author: Guojie Tan
publication date: 2002-06-27T00:00:00Z
Mathematics Subject Classification ID: 93E12
Mathematics Subject Classification ID: 93E24
zbMATH DE Number: 1619197
zbMATH Keywords: convergence
zbMATH Keywords: recursive least squares algorithm
zbMATH Keywords: forgetting factor
zbMATH Keywords: identification
zbMATH Keywords: time-varying systems
zbMATH Keywords: covariance matrix
zbMATH Keywords: mean square estimation error
MaRDI profile type: Publication
title: Convergence of the forgetting factor algorithm for identifying time-varying stochastic systems
published in: Control Theory \& Applications
review text: 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.
reviewed by: Zygmunt Hasiewicz
description: scientific article; zbMATH DE number 1619197