• DocumentCode
    490021
  • Title

    The MIMO Discrete-Time Convergent Approximation of the Optimal Recursive Parameter Estimator

  • Author

    Wiberg, D.M.

  • Author_Institution
    Electrical Engineering Department, University of California, Los Angeles, CA 90024-1594
  • fYear
    1992
  • fDate
    24-26 June 1992
  • Firstpage
    3355
  • Lastpage
    3359
  • Abstract
    A new discrete-time recursive parameter estimation algorithm is derived for a general multiple-input, multiple-output (MIMO) stochastic system that is bilinear in state and parameters. In contrast to the extended Kalman filter (EKF) for this system, the new algorithm can identify noise covariances and can be proven globally convergent. However, the new algorithm must also update approximations to third order moments, and so is more complicated than the EKF.
  • Keywords
    Approximation algorithms; Covariance matrix; MIMO; Nonlinear filters; Parameter estimation; Random sequences; Recursive estimation; Riccati equations; Stacking; Stochastic systems;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    American Control Conference, 1992
  • Conference_Location
    Chicago, IL, USA
  • Print_ISBN
    0-7803-0210-9
  • Type

    conf

  • Filename
    4792773
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=490021