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Algorithm to choose the regularization parameters for statistical identification. (English. Russian original) Zbl 1055.93557
Autom. Remote Control 59, No. 6, Part 2, 859-866 (1998); translation from Avtom. Telemekh. 1998, No. 6, 130-139 (1998).
Summary: Consideration is given to choosing the regularization parameters for statistical identification. An algorithm to estimate the noise variance is proposed. This estimate is shown to enable one to determine an efficient regularization parameter which makes the mathematical model more adequate.

MSC:
93E12 Identification in stochastic control theory
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