A Nonlinear Scheme for Parameter Estimation in Linear Systems

R. S. Brownell; A. H. Haddad

doi:10.1016/0016-0032(72)90010-5

A Nonlinear Scheme for Parameter Estimation in Linear Systems

R. S. Brownell^*, A. H. Haddad

^*Corresponding author for this work

Electrical and Computer Engineering

Research output: Contribution to journal › Article › peer-review

Abstract

An algorithm is presented which provides a maximum-likelihood estimate for an unknown parameter contained in a linear dynamic system driven by white, Gaussian noise. Taylor series expansions are used to develop approximations to the estimation equations. These approximations are recursive and can be calculated iteratively. The algorithm can be realized either as an analog or as a digital system and is shown to compare favorably with existing techniques in a simple example.

Original language	English (US)
Pages (from-to)	145-153
Number of pages	9
Journal	Journal of the Franklin Institute
Volume	294
Issue number	3
DOIs	https://doi.org/10.1016/0016-0032(72)90010-5
State	Published - Sep 1972

ASJC Scopus subject areas

Control and Systems Engineering
Signal Processing
Computer Networks and Communications
Applied Mathematics

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10.1016/0016-0032(72)90010-5

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author = "Brownell, {R. S.} and Haddad, {A. H.}",

note = "Funding Information: * This work was supported by the Joint Services Electronics Program (U.S. Army, U.S. Navy and U.S. Air Force) under contrect DAAB-07-67-C-0199. t Mr. Brownell is with the U.S. Air Force.",

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N2 - An algorithm is presented which provides a maximum-likelihood estimate for an unknown parameter contained in a linear dynamic system driven by white, Gaussian noise. Taylor series expansions are used to develop approximations to the estimation equations. These approximations are recursive and can be calculated iteratively. The algorithm can be realized either as an analog or as a digital system and is shown to compare favorably with existing techniques in a simple example.

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A Nonlinear Scheme for Parameter Estimation in Linear Systems

Abstract

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