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A theoretical analysis of recursive identification methods

Söderström, Torsten; Ljung, Lennart and Gustavsson, Ivar (1978) In Automatica 14(3). p.231-244
Abstract
In this paper five different recursive identification methods will be analyzed and compared, namely recursive versions of the least squares method, the instrumental variable method, the generalized least squares method, the extended least squares method and the maximum likelihood method. They are shown to be similar in structure and need of computer storage and time. Making use of recently developed theory for asymptotic analysis of recursive stochastic algorithms, these methods are examined from a theoretical viewpoint. Possible convergence points and their global and local convergence properties are studied. The theoretical analysis is illustrated and supplemented by simulations.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Automatica
volume
14
issue
3
pages
231 - 244
publisher
Pergamon
external identifiers
  • scopus:0017961729
ISSN
0005-1098
DOI
10.1016/0005-1098(78)90088-2
language
English
LU publication?
no
id
0c6b86f2-43bf-4f03-b05d-5feb1cd34f56
date added to LUP
2018-12-10 10:32:19
date last changed
2019-01-06 14:19:28
@article{0c6b86f2-43bf-4f03-b05d-5feb1cd34f56,
  abstract     = {In this paper five different recursive identification methods will be analyzed and compared, namely recursive versions of the least squares method, the instrumental variable method, the generalized least squares method, the extended least squares method and the maximum likelihood method. They are shown to be similar in structure and need of computer storage and time. Making use of recently developed theory for asymptotic analysis of recursive stochastic algorithms, these methods are examined from a theoretical viewpoint. Possible convergence points and their global and local convergence properties are studied. The theoretical analysis is illustrated and supplemented by simulations.},
  author       = {Söderström, Torsten and Ljung, Lennart and Gustavsson, Ivar},
  issn         = {0005-1098},
  language     = {eng},
  number       = {3},
  pages        = {231--244},
  publisher    = {Pergamon},
  series       = {Automatica},
  title        = {A theoretical analysis of recursive identification methods},
  url          = {http://dx.doi.org/10.1016/0005-1098(78)90088-2},
  volume       = {14},
  year         = {1978},
}