A stochastic approximation algorithm for asymptotic time-invariant linear systems
作者:
HARALD HÖGE,
期刊:
International Journal of Control
(Taylor Available online 1976)
卷期:
Volume 23,
issue 2
页码: 229-236
ISSN:0020-7179
年代: 1976
DOI:10.1080/00207177608922155
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
In order to estimate the state of an asymptotic time-invariant linear system with special statistical properties, an easily calculated stochastic approximation algorithm is developed. For a certain class of linear estimators this algorithm characteristically produces the least mean square estimation error, a property which is not lost if time-variant systems with non-vanishing plant noise are considered.
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