A MULTIMODEL ALGORITHM FOR PARAMETER-ESTIMATION OF TIME-VARYING NONLINEAR-SYSTEMS

We present a new on-line multi-model algorithm for parameter estimatio n of time-varying nonlinear systems. The time variation is captured by assuming that the system parameters change according to a Markovian m echanism. The algorithm postulates a finite number of possible values of the system parameter and computes recursively the credit function o f each parameter value, according to its predictive accuracy. A conver gence analysis of the algorithm is presented which indicates that the algorithm estimates correctly the parameter value in the time interval s between source switchings. This conclusion is corroborated by numeri cal experiments. (C) 1998 Elsevier Science Ltd. All rights reserved.