Title :
Control theory methods for consistency in some least squares identification problems
Author :
Duncan, T.E. ; Mandl, P. ; Pasik-Duncan, B.
Author_Institution :
Dept. of Math., Kansas Univ., Lawrence, KS, USA
fDate :
8/1/1993 12:00:00 AM
Abstract :
The consistency of a family of least-squares estimates of some unknown parameters of a continuous-time linear stochastic system is verified. The unknown parameters appear affinely in the linear transformations of the state and the control. The method of verification of consistency associates a family of control problems to the identification problem, and the asymptotic behavior of the solutions of a family of algebraic Riccati equations from the control problems implies a persistent excitation property for the identification problem
Keywords :
least squares approximations; linear systems; parameter estimation; stochastic systems; algebraic Riccati equations; asymptotic behavior; consistency; continuous-time linear stochastic system; least squares identification; least-squares estimates; parameter estimation; persistent excitation; Control systems; Control theory; Differential equations; Least squares approximation; Least squares methods; Mathematics; Parameter estimation; Riccati equations; Stochastic systems; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
