The optimal stochasticapproximation procedure (OSAP) is applied to the parameter identification problem of distributed parameter system (DPS) driven by random disturbances and observed through noisy measurements. Thi...
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The optimal stochasticapproximation procedure (OSAP) is applied to the parameter identification problem of distributed parameter system (DPS) driven by random disturbances and observed through noisy measurements. This procedure is a stochasticapproximation procedure (SAP) with an optimal gain sequence and an optimal transformation on the gradient of the objective function: these optimal values accelerate the convergence rate by minimizing the mean squared parameter estimation error, under the assumption that the density functions of the system and observation noises are known, or can be easily estimated. An example of parameter identification of a stochastic parabolic DPS is simulated on the digital computer. A comparison is made among the results of the optimal, the modified, the nominal first-order, and the nominal second-order SAP. It is shown that the OSAP gives higher accuracy and faster rate of convergence as compared to the nominal SAP
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