Mf. Cheung et al., AN OPTIMAL VOLUME ELLIPSOID ALGORITHM FOR PARAMETER SET ESTIMATION, IEEE transactions on automatic control, 38(8), 1993, pp. 1292-1296
Citations number
13
Categorie Soggetti
Controlo Theory & Cybernetics","Computer Applications & Cybernetics","Engineering, Eletrical & Electronic
In this note, a recursive ellipsoid algorithm is derived for parameter
set estimation of a SISO linear time-invariant system with bounded no
ise. The algorithm objective is in seeking the minimal volume ellipsoi
d bounding the feasible parameter set. Cast in a recursive framework,
where a minimal volume ellipsoid results at each recursion, the algori
thm extends a result due to Khachian in 1979 in which a technique was
developed to solve a class of linear programming problems. This extens
ion and application to the parameter set estimation problem has intuit
ive geometric appeal and is easy to implement. Comparisons are made to
the Optimal Bounding Ellipsoid (OBE) algorithm of Fogel and Huang, an
d the results are demonstrated via computer simulations.