Hierarchical recursive generalized extended least squares estimation algorithms for a class of nonlinear stochastic systems with colored noise |
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| Authors: | Longjin Wang Yan Ji Lijuan Wan Ni Bu |
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| Institution: | 1. College of Electrical and Mechanical Engineering, Qingdao University of Science and Technology, Qingdao 266061, PR China;2. College of Automation and Electronic Engineering, Qingdao University of Science and Technology, Qingdao 266061, PR China |
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| Abstract: | This paper considers the parameter identification problem of a bilinear state space system with colored noise based on its input-output representation. An input-output representation of a bilinear state-space system is derived for the parameter identification by eliminating the state variables in the model, and a recursive generalized extended least squares algorithm is presented for estimating the parameters of the obtained model. Furthermore, a three-stage recursive generalized extended least squares algorithm is proposed for reducing the computational cost. The validity of the proposed method is evaluated through a numerical example. |
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| Keywords: | Corresponding author |
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