Title :
On some asymptotic uncertainty bounds in recursive least squares identification
Author_Institution :
Dept. of Electr. Eng., Linkoping Univ.
fDate :
11/1/1993 12:00:00 AM
Abstract :
This note deals with the performance of the recursive least squares algorithm when it is applied to problems where the measured signal is corrupted by bounded noise. Using ideas from bounding ellipsoid algorithms we derive an asymptotic expression for the bound on the uncertainty of the parameter estimate for a simple choice of design variables. This bound is also transformed to a bound on the uncertainty of the transfer function estimate
Keywords :
identification; least squares approximations; transfer functions; asymptotic expression; asymptotic uncertainty bounds; bounded noise; bounding ellipsoid algorithms; parameter estimate uncertainty; recursive least squares identification; transfer function estimate uncertainty; Algorithm design and analysis; Control systems; Least squares methods; Linear systems; Parameter estimation; Resonance light scattering; Signal processing algorithms; Trajectory; Transfer functions; Uncertainty;
Journal_Title :
Automatic Control, IEEE Transactions on
