On a least-squares-based algorithm for identification of stochastic linear systems. (English) Zbl 1039.93065

A direct bias-eliminated least-squares algorithm for the identification of parameters of a linear time-invariant discrete-time system is presented and analysed. A key feature of the algorithm is that a consistent estimate of the system parameters can be obtained in the presence of arbitrarily colored noise, without prefiltering observed data and without introducing a higher-order augmented system. Hence the proposed routine has a simple structure and requires a moderate amount of computations, as compared with other methods of such kind. The efficiency of the approach is illustrated by means of simulation examples.


93E12 Identification in stochastic control theory
93E24 Least squares and related methods for stochastic control systems
93C55 Discrete-time control/observation systems
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