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- Fang, Mengyuan, et al.
(författare)
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Recursive Weighted Null-Space Fitting Method for Identification of Multivariate Systems
- 2021
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Ingår i: IFAC PAPERSONLINE. - : ELSEVIER. - 2405-8963. ; , s. 345-350
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Konferensbidrag (refereegranskat)abstract
- Recursive identification of structured multivariate models is known to be difficult due to the general non-convexity of the likelihood function. In this work, we propose a recursive multivariate weighted null-space fitting method for identification of structured multivariate models. The proposed method first uses recursive least squares to estimate a high order non-parametric model, then a parametric model is obtained through weighted least squares from the non-parametric model. In this way, the method avoids directly optimizing a non-convex likelihood function and has guaranteed global convergency. Moreover, the proposed method is flexible in model structures and has the same finite sample performance as its off-line counterpart. We use simulation examples to illustrate the performance.
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