Recursive Algorithms for a Novel Identification Criterion

A new identification criterion is concerned for disturbed system with color noise in this paper. The cost function considers both the errors between the actual outputs and the estimation result and the difference of each estimation error. Under this performance function, a new recursive algorithm DSCN (Disturbed System with Color Noise) is proposed. It could reduce the influence of noise in system identification, further decrease the prediction error. Several simulation examples are given to illustrate the method´s anti-disturbance performance.