Title :
On the performance of the recursive least squares method in the presence of bounded disturbances
Author :
Gunnarsson, Svante
Author_Institution :
Dept. of Electr. Eng., Linkoping Univ., Sweden
Abstract :
The author considers the performance of the recursive least squares method when applied to problems where the measured signal is corrupted by noise, which is bounded but otherwise of unknown characteristics. An asymptotic expression for the bound on the parameter estimation error is derived using ideas from bounding ellipsoid algorithms
Keywords :
least squares approximations; parameter estimation; signal processing; asymptotic expression; bounded disturbances; bounding ellipsoid algorithms; disturbance signals; identification; noise; parameter estimation error; recursive least squares method; Algorithm design and analysis; Delay effects; Electric variables measurement; Ellipsoids; Least squares methods; Noise measurement; Parameter estimation; Signal processing; Time invariant systems; Vectors;
Conference_Titel :
Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
Conference_Location :
Brighton
Print_ISBN :
0-7803-0450-0
DOI :
10.1109/CDC.1991.261414
