Efficient variable-metric method for obtaining estimates of the parameters of a dynamic model

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Efficient variable-metric method for obtaining estimates of the parameters of a dynamic model

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© The Institution of Electrical Engineers
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Presented in the letter is an efficient method of estimating the parameters of a dynamic model. This is based on a generalised least-squares formulation of the problem, coupled with the use of a variable-metric numerical optimisation routine.

Inspec keywords: least squares approximations; modelling; identification

Other keywords: parameter estimation; least squares formulation; dynamic model; variable metric numerical optimisation

Subjects: Other numerical methods; Other numerical methods; Simulation, modelling and identification

References

    1. 1)
      • T. SöderströM . Convergence properties of the generalised least squares identification method. Automatica , 617 - 626
    2. 2)
      • Clarke, D.W.: `Generalised least squares estimation of the parameters of a dynamic model', Paper 3.17, 1st IFAC symposium on identification in automatic control systems, 1967, Prague.
    3. 3)
      • C.G. Broyden . The convergence of a class of double-rank minimisation algorithms. J. Inst. Math. & Appl. , 76 - 90
    4. 4)
      • L.C.W. Dixon , F.A. Lootsma . (1972) The choice of step length, a crucial factor in the performance of variable metric algorithms, Numerical methods for non-linear optimisation.
    5. 5)
      • S.L. Stott , L. James , L.C.W. Dixon , G.P. Syegö . (1975) On the choice of an algorithm for estimating parameters of a dynamic model, Towards global optimisation.
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