TY - JOUR
T1 - Non-iterative optimal min-max instrumental variable method for system identification
AU - Stoica, Petre
AU - Nehorai, Arye
N1 - Funding Information:
ACKNOWLEDGMENT The work of A. Nehorai was supported by the Air Force Office of Scientific Research, under Grant No. AFOSR-88-0080.
PY - 1988/6
Y1 - 1988/6
N2 - An optimal min-max instrumental variable (IV) method for estimating the parameters in difference equation models is presented. The method gives the smallest estimation error variance in the ‘worst noise’ case from a prespecified class of noises. Implementation of this new method does not require knowledge of system or noise parameters and therefore can be done without iteration. This is an attractive feature since other min-max or generally optimal IV methods previously introduced require at least a knowledge of system parameters, and cannot be implemented directly. Results of simulations demonstrate the applicability of the method to both artificial and real data.
AB - An optimal min-max instrumental variable (IV) method for estimating the parameters in difference equation models is presented. The method gives the smallest estimation error variance in the ‘worst noise’ case from a prespecified class of noises. Implementation of this new method does not require knowledge of system or noise parameters and therefore can be done without iteration. This is an attractive feature since other min-max or generally optimal IV methods previously introduced require at least a knowledge of system parameters, and cannot be implemented directly. Results of simulations demonstrate the applicability of the method to both artificial and real data.
UR - http://www.scopus.com/inward/record.url?scp=0024034071&partnerID=8YFLogxK
U2 - 10.1080/00207178808906134
DO - 10.1080/00207178808906134
M3 - Article
AN - SCOPUS:0024034071
SN - 0020-7179
VL - 47
SP - 1759
EP - 1769
JO - International Journal of Control
JF - International Journal of Control
IS - 6
ER -