Yu. V. Tsyganova, M. V. Kulikova, “On efficient parametric identification methods for linear discrete stochastic systems”, Avtomat. i Telemekh., 2012, Issue 6,Pages <nobr>34

This article is cited in 10 papers

Stochastic Systems, Queuing Systems

On efficient parametric identification methods for linear discrete stochastic systems

Yu. V. Tsyganova^a, M. V. Kulikova^b

^a Ul'yanovsk State University, Ul'yanovsk, Russia
^b Lisbon Technical University, Lisbon, Portugal

Abstract: We construct a numerically stable algorithm (with respect to machine rounding errors) of adaptive Kalman filtering in order to solve the parametric identification problem for linear stationary stochastic discrete systems. We solve the problem in the state space. The proposed algorithm is formulated in terms of an orthogonal square-root covariance filter which lets us avoid a standard implementation of the Kalman filter.

Presented by the member of Editorial Board: A. V. Nazin

Received: 11.04.2011