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Calculation of derivatives for parameter estimation

Calculation of derivatives for parameter estimation

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© The Institution of Electrical Engineers
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The letter presents a simple method for the computation of the approximate Hessian Σ{∂ɛk(θ̇)/∂θ}{∂ɛk(θ̇)/∂θ}T of a cost function of the form ½Σɛk2(θ), where θ is an m-dimensional vector of parameters. The method has application to parameter-estimation problems.

Inspec keywords: estimation theory; differentiation

Other keywords: calculation of derivatives; approximate Hessian; cost function; differentiation; parameter estimation

Subjects: Numerical integration and differentiation

References

    1. 1)
      • D.H. Jacobson , D.Q. Mayne . (1970) , Differential dynamic programming.
    2. 2)
      • Astrom, K.J., Bohlin, T.: `Numerical identification of linear dynamic systems from normal operating records', Proceedings of conference on the theory of self-adaptive control systems, 1965, Instrument Society of America.
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