×

Recursive system identification by stochastic approximation. (English) Zbl 1132.93348

Summary: The convergence theorems for the stochastic approximation (SA) algorithm with expanding truncations are first presented, which the system identification methods discussed in the paper are essentially based on. Then, the recursive identification algorithms are respectively defined for the multivariate errors-in-variables systems, Hammerstein systems, and Wiener systems. All estimates given in the paper are strongly consistent.

MSC:

93E12 Identification in stochastic control theory
93E25 Computational methods in stochastic control (MSC2010)
PDFBibTeX XMLCite
Full Text: DOI