Non-iterative optimal min-max instrumental variable method for system identification
作者:
PETRE STOICA,
ARYE NEHORAI,
期刊:
International Journal of Control
(Taylor Available online 1988)
卷期:
Volume 47,
issue 6
页码: 1759-1769
ISSN:0020-7179
年代: 1988
DOI:10.1080/00207178808906134
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
An optimal min-max instrumental variable (IV) method for estimating the parameters in difference equation models is presented. The method gives the smallest estimation error variance in the ‘worst noise’ case from a prespecified class of noises. Implementation of this new method does not require knowledge of system or noise parameters and therefore can be donewithout iteration. This is an attractive feature since other min-max or generally optimal IV methods previously introduced require at least a knowledge of system parameters, and cannot be implemented directly. Results of simulations demonstrate the applicability of the method to both artificial and real data.
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