Title :
Newton-Raphson algorithm for the recursive generalized least-squares identification
Author :
Unton, F.Z. ; Weinfeld, R.
Author_Institution :
Polish Academy of Sciences, Warsaw, Poland
fDate :
7/1/1986 12:00:00 AM
Abstract :
A new variant of the Newton-Raphson algorithm for the recursive generalized least-squares identification is proposed. As compared to an earlier one [2], it uses the exactly computed Hessian and gradient. In this way, significant improvement of identification accuracy is obtained.
Keywords :
Gradient methods; Hessian matrices; Least-squares methods; Newton-Raphson methods; Parameter identification, linear systems; Recursive estimation; Colored noise; Differential equations; Linear systems; Noise measurement; Polynomials; State estimation; Stochastic resonance; Time measurement; Time varying systems; Wiener filter;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1986.1104365
