Identification of a class of nonlinear state-space models using RPE techniques

The recursive prediction error methods in state-space form have been efficiently used as parameter identifiers for linear systems, and especially Ljung´s innovations filter using a Newton search direction has proved to be quite ideal. In this paper, the RPE method in state-space form is developed to the nonlinear case and extended to include the exact form of a nonlinearity, thus enabling structure preservation for certain classes of nonlinear systems. Both the discrete and the continuous-discrete versions of the algorithm in an innovations model are investigated, and a nonlinear simulation example shows a quite convincing performance of the filter as combined parameter and state estimator.