DocumentCode
3477282
Title
Recursive least squares algorithm with compensation for coloured noise
Author
Xia, L.
Author_Institution
Dept. of Electr. & Electron. Eng., Victoria Univ. of Technol., Footscray, Vic., Australia
fYear
1991
fDate
11-13 Dec 1991
Firstpage
1680
Abstract
A novel algorithm based on RLS (recursive least squares) is proposed for identifying the system dynamics in the presence of colored noise. The expected biased estimation from RLS is suitably compensated. Theoretical analysis and simulation studies show that the algorithm should and does deliver convergent estimations without SPR (strictly positive real) or like conditions as normally imposed in ELS (extended least squares) schemes
Keywords
identification; noise; statistical analysis; coloured noise compensation; identification; recursive least squares; strictly positive real condition; system dynamics; Algorithm design and analysis; Analytical models; Colored noise; Convergence; Feedback; Least squares approximation; Least squares methods; Linear regression; Linear systems; Recursive estimation; Resonance light scattering; Stability;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
Conference_Location
Brighton
Print_ISBN
0-7803-0450-0
Type
conf
DOI
10.1109/CDC.1991.261693
Filename
261693
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