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A Kalman filter type of extension to a deterministic gradient technique for parameter estimation

โœ Scribed by M.W.A. Smith; A.P. Roberts

Publisher
Elsevier Science
Year
1978
Tongue
English
Weight
838 KB
Volume
20
Category
Article
ISSN
0378-4754

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โœฆ Synopsis

It is shown that a method for the identification of deterministic systems derived from the Kalman filter is related to a gradient technique of parameter estimation and that the range of problems to which the gradient method may be applied is thereby extended. Various versions of the discrete-time algorithm are compared from theoretical and computational points of view and also contrasted with the continuous-time algorithm. An important outcome is that the system containing unknown parameters and the identification algorithm may be formulated with one in discrete-time and the other in continuous-time.

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