Title :
An improved version of the Koopmans-levin algorithm
Author :
Vajk, I. ; Hetthessy, J.
Author_Institution :
Dept. of Autom. & Appl. Inf., Budapest Univ. of Technol. & Econ., Budapest, Hungary
Abstract :
In this paper two algorithms developed by Koopmans and Levin are discussed in details. One of them eliminates unwanted correlation in the input data by dropping some I/O pairs, while the other has the capability to completely utilize all the available input/output records. As a main result a new estimation algorithm is derived in this paper leading to maximum likelihood estimation and simultaneously utilizing the available input/output records with maximum efficiency. Simulation examples verify the exceptionally good performance of the new algorithm.
Keywords :
linear systems; maximum likelihood estimation; I/O pairs; Koopmans-Levin algorithm; estimation algorithm; input data; input/output records; linear system; maximum likelihood estimation; system identification; unwanted correlation elimination; Eigenvalues and eigenfunctions; Heuristic algorithms; Matrix decomposition; Maximum likelihood estimation; Noise; Vectors; Error in variables; linear systems; system identification;
Conference_Titel :
Control Conference (ECC), 2001 European
Conference_Location :
Porto
Print_ISBN :
978-3-9524173-6-2
