RECURSIVE EXTENDED COMPENSATED LEAST SQUARES BASED ALGORITHM FOR ERRORS-IN-VARIABLES IDENTIFICATION

Tomasz Larkowski, Jens G. Linden, Keith J. Burnham

2009

Abstract

An algorithm for the recursive identification of single-input single-output linear discrete-time time-invariant errors-in-variables system models in the case of white input and coloured output noise is presented. The approach is based on a bilinear parametrisation technique which allows the model parameters to be estimated together with the auto-correlation elements of the input/output noise sequences. In order to compensate for the bias in the recursively obtained least squares estimates, the extended bias compensated least squares method is used. An alternative for the online update of the associated pseudo-inverse of the extended observation covariance matrix is investigated, namely an approach based on the matrix pseudo-inverse lemma and an approach based on the recursive extended instrumental variables technique. A Monte-Carlo simulation study demonstrates the appropriateness and the robustness against noise of the proposed scheme.

Paper Citation

in Harvard Style

Larkowski T., G. Linden J. and J. Burnham K. (2009). RECURSIVE EXTENDED COMPENSATED LEAST SQUARES BASED ALGORITHM FOR ERRORS-IN-VARIABLES IDENTIFICATION . In Proceedings of the 6th International Conference on Informatics in Control, Automation and Robotics - Volume 2: ICINCO, ISBN 978-989-674-001-6, pages 142-147. DOI: 10.5220/0002211901420147

in Bibtex Style

@conference{icinco09,
author={Tomasz Larkowski and Jens G. Linden and Keith J. Burnham},
title={RECURSIVE EXTENDED COMPENSATED LEAST SQUARES BASED ALGORITHM FOR ERRORS-IN-VARIABLES IDENTIFICATION},
booktitle={Proceedings of the 6th International Conference on Informatics in Control, Automation and Robotics - Volume 2: ICINCO,},
year={2009},
pages={142-147},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0002211901420147},
isbn={978-989-674-001-6},
}

in EndNote Style

TY - CONF
JO - Proceedings of the 6th International Conference on Informatics in Control, Automation and Robotics - Volume 2: ICINCO,
TI - RECURSIVE EXTENDED COMPENSATED LEAST SQUARES BASED ALGORITHM FOR ERRORS-IN-VARIABLES IDENTIFICATION
SN - 978-989-674-001-6
AU - Larkowski T.
AU - G. Linden J.
AU - J. Burnham K.
PY - 2009
SP - 142
EP - 147
DO - 10.5220/0002211901420147