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Robust recursive identification of multidimensional linear regression models

 

作者: LEI GUO,   LIGE XIA,   JOHNB. MOORE,  

 

期刊: International Journal of Control  (Taylor Available online 1988)
卷期: Volume 48, issue 3  

页码: 961-979

 

ISSN:0020-7179

 

年代: 1988

 

DOI:10.1080/00207178808906229

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

Stochastic adaptive estimation and control algorithms involving recursive prediction estimates have guaranteed convergence rates when the noise is not ‘too’ coloured, as when a positive-real condition on the noise mode is satisfied. Moreover, the whiter the noise environment the more robust are the algorithms. This paper shows that for linear regression signal models, the suitable introduction of while noise into the estimation algorithm can make it more robust without compromising on convergence rates. Indeed, there are guaranteed attractive convergence rates independent of the process noise colour. No positive-real condition is imposed on the noise model.

 

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