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Counterexamples to general convergence of a commonly used recursive identification method

Ljung, Lennart ; Söderström, Torsten and Gustavsson, Ivar (1975) In IEEE Transactions on Automatic Control 20(5). p.643-652
Abstract
A recursive algorithm for parametric identification of discrete-time systems known as Panuska's method, the approximate maximum likelihood method or the extended matrix method, is analyzed. Making use of recently developed theory for asymptotic analysis of recursive stochastic algorithms, dynamic systems, and autoregressive moving average (ARMA) processes are constructed for which this algorithm does not converge. The manner in which the counterexamples are constructed yields insight into the algorithm and provides ideas how to improve the convergence properties.
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author
; and
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
IEEE Transactions on Automatic Control
volume
20
issue
5
pages
643 - 652
publisher
IEEE - Institute of Electrical and Electronics Engineers Inc.
external identifiers
  • scopus:0016563220
ISSN
0018-9286
DOI
10.1109/TAC.1975.1101078
language
English
LU publication?
no
id
d66691f1-7ef0-4202-b1eb-388103c27ca1
date added to LUP
2018-12-27 11:37:10
date last changed
2020-01-13 01:18:54
@article{d66691f1-7ef0-4202-b1eb-388103c27ca1,
  abstract     = {A recursive algorithm for parametric identification of discrete-time systems known as Panuska's method, the approximate maximum likelihood method or the extended matrix method, is analyzed. Making use of recently developed theory for asymptotic analysis of recursive stochastic algorithms, dynamic systems, and autoregressive moving average (ARMA) processes are constructed for which this algorithm does not converge. The manner in which the counterexamples are constructed yields insight into the algorithm and provides ideas how to improve the convergence properties.},
  author       = {Ljung, Lennart and Söderström, Torsten and Gustavsson, Ivar},
  issn         = {0018-9286},
  language     = {eng},
  number       = {5},
  pages        = {643--652},
  publisher    = {IEEE - Institute of Electrical and Electronics Engineers Inc.},
  series       = {IEEE Transactions on Automatic Control},
  title        = {Counterexamples to general convergence of a commonly used recursive identification method},
  url          = {http://dx.doi.org/10.1109/TAC.1975.1101078},
  doi          = {10.1109/TAC.1975.1101078},
  volume       = {20},
  year         = {1975},
}