Least-squares estimation for a long-horizon performance index

• Autorzy: Janiszowski K. B.
• Języki publikacji: EN

Abstrakty

EN

Estimation of a parametric, discrete-time model for a SISO dynamic plant, derived for minimisation of a performance index determined as a sum of squared prediction errors within some time horizon is considered. A formula for a Long-Horizon Least-Squares (LHLS) off-line solution as well as a theorem for an LHLS recursive on-line scheme are derived. The LHLS scheme reveals some features of Least-Squares (LS) estimation and Instrumental-Variable (IV) estimation. An algorithm for the on-line LHLS scheme is presented and compared with LS and IV estimation schemes for a linear, second-order system. The fast convergence of the derived LHLS on-line scheme is demonstrated in the case of detecting changes in parameters of a non-stationary system.

Słowa kluczowe

EN

identification; least squares estimation; prediction; recursive scheme

PL

identyfikacja; estymacja metodą najmniejszych kwadratów; przewidywanie

• Wydawca: Oficyna Wydawnicza Uniwersytetu Zielonogórskiego
• Czasopismo: International Journal of Applied Mathematics and Computer Science
• Rocznik: 2000
• Tom: Vol. 10, no 3
• Strony: 559--573
• Opis fizyczny: Bibliogr. 8 poz., tab., wykr.

Twórcy

autor

Janiszowski K. B.

• Institute of Industrial Automatic Control, Warsaw University of Technology, 02-525 Warsaw, ul. Narbutta 87, Poland,