Title :
Tracking characteristics of an OBE parameter-estimation algorithm
Author :
Rao, Ashok K. ; Huang, Yih-Fang
Author_Institution :
Comsat Lab., Clarksburg, MD, USA
fDate :
3/1/1993 12:00:00 AM
Abstract :
The tracking properties of a recursive parameter-bounding algorithm, referred to as the Dasgupta-Huang optimal bounding ellipsoid algorithm (DHOBE algorithm) are investigated. Conditions that ensure the existence of these 100% confidence regions in the face of small model-parameter variations are derived. For larger parameter variations, it is shown that the existence of 100% confidence regions is guaranteed asymptotically. A modification that enables the algorithm to track large variations in model parameter is proposed. Simulation results show that in general, the modified algorithm has a tracking performance comparable, and in some cases superior, to that of the exponentially weighted recursive-least-squares (RLS) algorithm
Keywords :
adaptive filters; filtering and prediction theory; parameter estimation; tracking; DHOBE algorithm; Dasgupta-Huang optimal bounding ellipsoid algorithm; OBE parameter-estimation algorithm; adaptive filtering; recursive parameter-bounding algorithm; small model-parameter variations; tracking performance; tracking properties; Adaptive filters; Ellipsoids; Least squares approximation; Least squares methods; Parameter estimation; Performance analysis; Recursive estimation; Resonance light scattering; Signal processing algorithms; Time varying systems;
Journal_Title :
Signal Processing, IEEE Transactions on
