Identification of ARX systems with non-stationary inputs - asymptotic analysis with application to adaptive input design

Gerencsér, László and Hjalmarsson, Hakan and Martensson, Jonas (2008) Identification of ARX systems with non-stationary inputs - asymptotic analysis with application to adaptive input design. Automatica, AUT:38. ISSN 0005-1098

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Abstract

A key problem in optimal input design is that the solution depends on system parameters to be identified. In this contribution we provide formal results for convergence and asymptotic optimality of an adaptive input design method based on the certainty equivalence principle, i.e. for each time step an optimal input design problem is solved exactly using the present parameter estimate and one sample of this input is applied to the system. The results apply to stable ARX systems with the input restricted to be generated by white noise filtered through a finite impulse response filter, or a binary signal obtained from the latter by a static nonlinearity.

Item Type: Article
Uncontrolled Keywords: Input design; LMI-s; stochastic regression
Subjects: Q Science > QA Mathematics and Computer Science > QA75 Electronic computers. Computer science / számítástechnika, számítógéptudomány
Depositing User: László Gerencsér
Date Deposited: 11 Dec 2012 15:31
Last Modified: 11 Dec 2012 15:31
URI: http://eprints.sztaki.hu/id/eprint/5428

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