Parameter selection for the criterion weighting matrix is concerned based on the information of both modifying the past estimation residuals and renewing the present estimation residual error. After minimizing the sys...
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Parameter selection for the criterion weighting matrix is concerned based on the information of both modifying the past estimation residuals and renewing the present estimation residual error. After minimizing the system estimation error, an optimal recursive algorithm is given. In this method the system data record can be used efficiently. The consistency of the new recursivealgorithm is analyzed. Finally, some simulation examples are included to demonstrate the new method's reliability.
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