A Kalman filter type of extension to a deterministic gradient technique for parameter estimation

M.W.A. Smith and A.P. Roberts

Mathematics and Computers in Simulation (MATCOM), 1978, vol. 20, issue 4, 291-300

Abstract: It is shown that a method for the identification of deterministic systems derived from the Kalman filter is related to a gradient technique of parameter estimation and that the range of problems to which the gradient method may be applied is thereby extended. Various versions of the discrete-time algorithm are compared from theoretical and computational points of view and also contrasted with the continuous-time algorithm. An important outcome is that the system containing unknown parameters and the identification algorithm may be formulated with one in discrete-time and the other in continuous-time.

Keywords: Control Theory; Identification; Filtering; Kalman filter; discrete-time (search for similar items in EconPapers)
Date: 1978
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:20:y:1978:i:4:p:291-300

DOI: 10.1016/0378-4754(78)90021-6

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