Title :
Stability of an windup prevention scheme in recursive parameter estimation
Author :
Medvedev, Alexander
Author_Institution :
Inf. Technol., Uppsala Univ., Sweden
Abstract :
Stability properties of a recently suggested anti-windup algorithm for recursive parameter estimation are analyzed. Convergence of the resulting from recursion dynamic system is equivalent to that of a linear time-varying difference matrix equation. The linear mapping associated with the system is shown to be a paracontraction with respect to a certain norm but not a contraction. A special case of the studied matrix difference equation arises in the normalized LMS-algorithm.
Keywords :
convergence of numerical methods; difference equations; least mean squares methods; linear systems; recursive estimation; stability; time-varying systems; LMS algorithm; anti-windup algorithm; convergence; least mean square methods; linear mapping; linear time varying difference matrix equation; recursion dynamic system; recursive parameter estimation; stability; windup prevention scheme; Convergence; Difference equations; Eigenvalues and eigenfunctions; Least squares approximation; Parameter estimation; Riccati equations; Stability; Symmetric matrices; Time varying systems; Windup;
Conference_Titel :
Decision and Control, 2003. Proceedings. 42nd IEEE Conference on
Print_ISBN :
0-7803-7924-1
DOI :
10.1109/CDC.2003.1272595
