Identification of nonlinear rational systems using a prediction-error estimation algorithm. (English) Zbl 0674.93066

Summary: Identification of discrete-time nonlinear stochastic systems which can be representated by a rational input-output model is considered. A prediction-error parameter estimation algorithm is developed and a criterion is derived using results from the theory of hypothesis testing to determine the correct model structure. The identification of a simulated system and a heat exchanger are included to illustrate the algorithms.


93E12 Identification in stochastic control theory
93E25 Computational methods in stochastic control (MSC2010)
62M20 Inference from stochastic processes and prediction
93C10 Nonlinear systems in control theory
93C55 Discrete-time control/observation systems
93E10 Estimation and detection in stochastic control theory
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