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A Filtering based Multi-innovation Extended Stochastic Gradient Algorithm for Multivariable Control Systems

Jian Pan, Xiao Jiang*, Xiangkui Wan,Wenfang Ding
International Journal of Control, Automation, and Systems, vol. 15, no. 3, pp.1189-1197, 2017

Abstract : "For a multivariable system with moving average noise (i.e., a multivariable controlled autoregressive moving average system), this paper proposes a filtering based extended stochastic gradient (ESG) algorithm and a filtering based multi-innovation ESG algorithm for improving the parameter estimation accuracy. The key is using the filtering technique and the multi-innovation identification theory. The proposed algorithms can identify the parameters of the system model and the noise model. The filtering based multi-innovation ESG algorithm can give more accurate parameter estimates. The numerical simulation results demonstrate that the proposed algorithms work well."

Keyword : "Estimation algorithm, filtering, gradient search, multi-innovation identification, parameter estimation, stochastic system."

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