Performance analysis of the generalised projection identification for time-varying systems

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Ding, F. ; Xu, L. ; Zhu, Q. (2016)

The least mean square methods include two typical parameter estimation algorithms, which are the\ud projection algorithm and the stochastic gradient algorithm, the former is sensitive to noise and the latter is\ud not capable of tracking the time-varying parameters. On the basis of these two typical algorithms, this paper\ud presents a generalized projection identi¯cation algorithm for time-varying systems and studies its convergence\ud by using the stochastic process theory. The analysis indicates that the generalized projection algorithm can\ud track the time-varying parameters and requires less computational e®ort compared with the forgetting factor\ud recursive least squares algorithm. The way of choosing the data window length is stated so that the minimum\ud parameter estimation error upper bound can be obtained. The numerical examples are provided.
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