Auxiliary Model-based Stochastic Gradient Algorithm for Multivariable Output Error Systems
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摘要: 考虑了多变量输出误差系统的辨识问题. 使用系统可得到的输入输出数据构造一个辅助模型, 用辅助模型的输出代替信息向量中的未知变量, 提出了一个基于辅助模型的随机梯度辨识算法. 使用鞅收敛定理的收敛性分析表明: 提出的算法给出的参数估计收敛于它们的真值. 给出了带遗忘因子的辅助模型随机梯度算法来改进参数估计精度, 仿真结果证实了提出的结论.Abstract: The identification problem of multivariable output error systems is considered in this paper. By constructing an auxiliary model using available input-output data and by replacing the unknown inner variables in the information vector with the outputs of the auxiliary model, an auxiliary model-based stochastic gradient (AM-SG) identification algorithm is presented. Convergence analysis using the martingale convergence theorem indicates that the parameter estimates given by the AM-SG algorithm converge to their true values. The AM-SG algorithm with a forgetting factor is given to improve its convergence rate. The simulation results confirm the theoretical findings.
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