A recursive (on-line) maximum likelihood identification method

A recursive (on-line) identification algorithm is developed based upon the off-line maximum likelihood method by Åström and Bohlin. The basic idea of the algorithm consists in two modifications to the classical method. First an approximate noisemodel is applied to eliminate auto-regressive filtering in the computation of the noise-derivatives. Second, some approximations are introduced to make the direct recursive version of the iteration equations really on-line. The combination of the two modifications yields a compact on-line algorithm.