ITERATIVE INSTRUMENTAL VARIABLE METHOD FOR ROBUST IDENTIFICATION OF SYSTEMS

A new off-line method, called the Robust Iterative Instrumental Variab le Method with Modified Residuals, is presented for robust identificat ion of systems in this paper. It is based on Huber's minimax principle and the instrumental variable principle. Proof of convergence for the proposed method is given along with some results of simulation. Compa rison with both non robust methods and robust methods proposed earlier shows that the proposed method provides better accuracy of estimate a nd speed of convergence.