New Approach to Recursive Identification for ARMAX Systems
New Approach to Recursive Identification for ARMAX Systems
复制标题
DOI：
10.1109/tac.2010.2041997
复制
发表时间：
2010-02
影响因子：
6.8
通讯作者：
Han-Fu Chen
中科院分区：
文献类型：
--
作者：
Han-Fu Chen
对于多变量ARMAX系统A（z）yk=B（z）uk-1+C（z）wk，在假设A（z），B（z），C（z）的阶数已知且控制uk可以任意选取的情况下，提出了估计A（z），B（z），C（z）的系数和wk的协方差矩阵Rw的递推算法.新方法是根据观测数据在线求解与ARMAX相关的代数方程组。该算法易于计算，并在合理的条件下证明了算法的几乎处处收敛性。
For the multivariate ARMAX system A(z)yk=B(z)uk-1+C(z)wk recursive algorithms are proposed for estimating coefficients of A(z), B(z), and C(z) and the covariance matrix Rw of wk, assuming that the orders of A(z) , B(z) , and C(z) are known and the control uk can be arbitrarily chosen. The new method consists in on-line solving the algebraic equations associated with ARMAX on the basis of observed data. The algorithms are easily computable, and the almost sure convergence of the algorithms is proved under reasonable conditions.