Bias compensation recursive least squares identification for output error systems with colored noises. (Chinese. English summary) Zbl 1164.93415

Summary: Based on the bias compensation principle and pre-filtering idea, this paper derives a Bias Compensation Recursive Least Squares (BCRLS) identification algorithm for output error systems with colored noises. The algorithm proposed, which does not require the input signals to be stationary and ergodic, carries out the recursive computation of the bias compensation methods and can be on-line implemented. The BCRLS algorithm has advantage over the nonrecursive bias compensation algorithms and can give highly accurate parameter estimation. The simulation results confirm the theoretical results.


93E12 Identification in stochastic control theory
93E24 Least squares and related methods for stochastic control systems