Joint parameter/state estimation

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Joint parameter/state estimation

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© The Institution of Electrical Engineers
Published

It is shown how the refined instrumental variable method of parameter/state estimation for single-input single-output (s.i.s.o.) systems proposed by Young1 can be extended to multi-input multi-output (m.i.m.o.) systems. As might be expected, the extension follows directly from the s.i.s.o. analysis, but involves some difficult and interesting matrix manipulations.

Inspec keywords: filtering and prediction theory; Kalman filters; state estimation; parameter estimation

Other keywords: Kalman filter representation; matrix manipulations; state estimation; multivariable systems; refined instrumentation variable method; parameter estimation

Subjects: Information theory; Simulation, modelling and identification

References

    1. 1)
      • P.C. Young , A.J. Jakeman , R. McMurtrie . , An instrumental variable method for model structure identification.
    2. 2)
      • P.C. Young , A.J. Jakeman . Refined instrumental variable methods of recursive time-series analysis. Part III: Extensions. Int. J. Control
    3. 3)
      • P.C. Young . Self-adaptive Kalman filter. Electron. Lett. , 358 - 360
    4. 4)
      • A.J. Jakeman , P.C. Young . Refined instrumental variable methods of recursive time-series analysis. Part II: Multivariable systems. Int. J. Control , 621 - 644
    5. 5)
      • P.C. Young , A.J. Jakeman . Refined instrumental variable methods of recursive time-series analysis. Part I: Single input, single output systems. Int. J. Control , 1 - 30
    6. 6)
      • R.E. Kalman . A new approach to linear filtering and prediction problems. Trans. ASME, J. Basic Eng. , 33 - 45
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