Title :
Least squares parameter estimator: Membership set and H∞ sensitivity
Author :
Bai, Er-Wei ; Tempo, Roberto
Author_Institution :
Dept. of Electr. & Comput. Eng., Iowa Univ., Iowa City, IA, USA
fDate :
29 June-1 July 1994
Abstract :
In this paper, we discuss three related issues. First, we obtain necessary and sufficient conditions under which the least squares estimate lies in the membership set. Secondly we derive the exact size of the membership set that bounds the maximum error between the true parameter and the estimate. Finally, we show that the least squares estimator is H∞ optimal in terms of sensitivity.
Keywords :
H∞ optimisation; least squares approximations; parameter estimation; sensitivity analysis; H∞ optimal estimator; H∞ sensitivity; least-squares parameter estimator; maximum error; membership set; necessary and sufficient conditions; optimal sensitivity; Additive noise; Algorithm design and analysis; Least squares approximation; Least squares methods; Noise measurement; Parameter estimation; Q measurement; Random variables; Stochastic processes; Time measurement;
Conference_Titel :
American Control Conference, 1994
Print_ISBN :
0-7803-1783-1
DOI :
10.1109/ACC.1994.752472
