Convergence properties of an extended least squares (ELS) estimator

Author

Henriksen, R.

Author_Institution

Dept. of Eng. Cybern., Norwegian Univ. of Sci. & Technol., Trondheim, Norway

fYear

1999

fDate

Aug. 31 1999-Sept. 3 1999

Firstpage

2644

Lastpage

2649

Abstract

By factorizing the A- and B-polynomials in an ARMAX model and filtering the input/output data with the appropriate factors, the parameters of the model are estimated in a decoupled fashion. This may improve the robustness of some estimators significantly, e.g., when applied to very stiff systems. Earlier work on these techniques has established both local and global convergence properties of some LS, IV, and PE variants. An ELS variant is considered herein, and its local and global convergence properties are analyzed.

Keywords

autoregressive moving average processes; convergence of numerical methods; estimation theory; least squares approximations; parameter estimation; polynomial approximation; ARMAX model; ELS estimator; convergence property; extended least squares estimator; model parameter estimation; polynomial factorization; Accuracy; Convergence; Estimation; Mathematical model; Polynomials; Reduced order systems; Robustness; ELS methods; convergence analysis;

fLanguage

English

Publisher

ieee

Conference_Titel

Control Conference (ECC), 1999 European

Conference_Location

Karlsruhe

Print_ISBN

978-3-9524173-5-5

Type

conf

Filename

7099724

Link To Document

https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=706779