STRONG CONSISTENCY AND CONVERGENCE RATE OF PARAMETER-IDENTIFICATION FOR BILINEAR-SYSTEMS

Authors
CHEN HX ZINOBER ASI RUAN RY
Citation
Hx. Chen et al., STRONG CONSISTENCY AND CONVERGENCE RATE OF PARAMETER-IDENTIFICATION FOR BILINEAR-SYSTEMS, International Journal of Control, 63(5), 1996, pp. 907-919
Citations number
14
Categorie Soggetti
Controlo Theory & Cybernetics","Robotics & Automatic Control
Journal title
International Journal of Control → ACNP
ISSN journal
00207179
Volume
63
Issue
5
Year of publication
1996
Pages
907 - 919
Database
ISI
SICI code
0020-7179(1996)63:5<907:SCACRO>2.0.ZU;2-1
Abstract
This paper discusses the parameter identification problem of discrete- time stochastic bilinear systems, when the dynamic system noise is col oured and its variance function may be unbounded in time. It will be p roved, under weak conditions, that the extended least squares estimate of the system parameter has strong consistency and a fast convergence rate.