Title :
Estimating Parameters of Stochastic Nonlinear Dynamic System with Use of Gradient Method
Author :
Kotelnikov, L.A.
Author_Institution :
Novosibirsk State Tech. Univ., Novosibirsk
Abstract :
The problem of estimating parameters of stochastic dynamic nonlinear system by gradient method is considered. The gradient method is applied to the criterion of normalized one-step-ahead error minimum which is calculated by extended linearized Kalman filter. The gradient calculation algorithm for this target function is obtained. Performance of the method is shown on an example of three univariate linear dynamic systems mixture.
Keywords :
Kalman filters; gradient methods; linear systems; nonlinear dynamical systems; nonlinear filters; parameter estimation; stochastic systems; extended linearized Kalman filter; gradient method; one-step-ahead error minimum; parameter estimation; stochastic nonlinear dynamic system; univariate linear dynamic systems; Electromagnetic fields; Finite element methods; Geophysics computing; Gradient methods; Nonlinear dynamical systems; Parameter estimation; Statistical analysis; Statistical distributions; Stochastic systems; Testing;
Conference_Titel :
Electronic Instrument Engineering, 2006. APEIE '06. 8th International Conference on Actual Problems of
Conference_Location :
Novosibirsk
Print_ISBN :
5-7782-0662-3
DOI :
10.1109/APEIE.2006.4292558
