TY - JOUR
T1 - Time-varying parameter estimation under stochastic perturbations using LSM
AU - Escobar, Jesica
N1 - Funding Information:
Mexican Council of Science and Technology (CONACYT) (postdoctoral grant No. 146674).
PY - 2012/6
Y1 - 2012/6
N2 - In this paper, we deal with the problem of continuous-time time-varying parameter estimation in stochastic systems, under three different kinds of stochastic perturbations: additive and multiplicative white noise, and coloured noise. The proposed algorithm is based on the least squares method with forgetting factor. Some numerical examples illustrate the effectiveness of the proposed algorithm. An analysis of the estimation error for the system under the three different kinds of perturbations is presented.
AB - In this paper, we deal with the problem of continuous-time time-varying parameter estimation in stochastic systems, under three different kinds of stochastic perturbations: additive and multiplicative white noise, and coloured noise. The proposed algorithm is based on the least squares method with forgetting factor. Some numerical examples illustrate the effectiveness of the proposed algorithm. An analysis of the estimation error for the system under the three different kinds of perturbations is presented.
KW - least squares method
KW - parameter estimation
KW - stochastic systems
UR - http://www.scopus.com/inward/record.url?scp=84863565494&partnerID=8YFLogxK
U2 - 10.1093/imamci/dnr028
DO - 10.1093/imamci/dnr028
M3 - Artículo
SN - 0265-0754
VL - 29
SP - 235
EP - 258
JO - IMA Journal of Mathematical Control and Information
JF - IMA Journal of Mathematical Control and Information
IS - 2
ER -