Least Squares based Iterative Parameter Estimation Algorithm for Stochastic Dynamical Systems with ARMA Noise Using the Model Equivalence

Feng Ding; Dandan Meng; Jiyang Dai; Qishen Li; Ahmed Alsaedi; Tasawar Hayat

doi:10.1007/s12555-017-0001-x

Least Squares based Iterative Parameter Estimation Algorithm for Stochastic Dynamical Systems with ARMA Noise Using the Model Equivalence

Feng Ding
, Dandan Meng
, Jiyang Dai
, Qishen Li
, Ahmed Alsaedi
, Tasawar Hayat

Nanchang Hangkong University
Jiangnan University
Faculty of Sciences, King Abdulaziz University
Quaid-I-Azam University

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

52 Scopus citations

Abstract

By means of the model equivalence theory, this paper proposes a model equivalence based least squares iterative algorithm for estimating the parameters of stochastic dynamical systems with ARMA noise. The proposed algorithm reduces the number of the unknown noise terms in the information vector and can give more accurate parameter estimates compared with the generalized extended least squares algorithm. The validity of the proposed method is evaluated through a numerical example.

Original language	English
Pages (from-to)	630-639
Number of pages	10
Journal	International Journal of Control, Automation and Systems
Volume	16
Issue number	2
DOIs	https://doi.org/10.1007/s12555-017-0001-x
State	Published - 1 Apr 2018
Externally published	Yes

Keywords

Dynamical system
iterative method
least squares
model equivalence
parameter estimation

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10.1007/s12555-017-0001-x

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title = "Least Squares based Iterative Parameter Estimation Algorithm for Stochastic Dynamical Systems with ARMA Noise Using the Model Equivalence",

abstract = "By means of the model equivalence theory, this paper proposes a model equivalence based least squares iterative algorithm for estimating the parameters of stochastic dynamical systems with ARMA noise. The proposed algorithm reduces the number of the unknown noise terms in the information vector and can give more accurate parameter estimates compared with the generalized extended least squares algorithm. The validity of the proposed method is evaluated through a numerical example.",

keywords = "Dynamical system, iterative method, least squares, model equivalence, parameter estimation",

author = "Feng Ding and Dandan Meng and Jiyang Dai and Qishen Li and Ahmed Alsaedi and Tasawar Hayat",

note = "Publisher Copyright: {\textcopyright} 2018, Institute of Control, Robotics and Systems and The Korean Institute of Electrical Engineers and Springer-Verlag GmbH Germany, part of Springer Nature.",

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T1 - Least Squares based Iterative Parameter Estimation Algorithm for Stochastic Dynamical Systems with ARMA Noise Using the Model Equivalence

AU - Ding, Feng

AU - Meng, Dandan

AU - Dai, Jiyang

AU - Li, Qishen

AU - Alsaedi, Ahmed

AU - Hayat, Tasawar

PY - 2018/4/1

Y1 - 2018/4/1

N2 - By means of the model equivalence theory, this paper proposes a model equivalence based least squares iterative algorithm for estimating the parameters of stochastic dynamical systems with ARMA noise. The proposed algorithm reduces the number of the unknown noise terms in the information vector and can give more accurate parameter estimates compared with the generalized extended least squares algorithm. The validity of the proposed method is evaluated through a numerical example.

AB - By means of the model equivalence theory, this paper proposes a model equivalence based least squares iterative algorithm for estimating the parameters of stochastic dynamical systems with ARMA noise. The proposed algorithm reduces the number of the unknown noise terms in the information vector and can give more accurate parameter estimates compared with the generalized extended least squares algorithm. The validity of the proposed method is evaluated through a numerical example.

KW - Dynamical system

KW - iterative method

KW - least squares

KW - model equivalence

KW - parameter estimation

UR - https://www.scopus.com/pages/publications/85041189245

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DO - 10.1007/s12555-017-0001-x

M3 - Article

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JF - International Journal of Control, Automation and Systems

IS - 2

ER -

Least Squares based Iterative Parameter Estimation Algorithm for Stochastic Dynamical Systems with ARMA Noise Using the Model Equivalence

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Keywords

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