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Combined high-order algorithms in robust least-squares estimation with harmonic regressor and strictly diagonally dominant information matrix

Alexander Stotsky (Institutionen för energi och miljö, Elteknik)
Proceedings of the Institution of Mechanical Engineers Part I-Journal of Systems and Control Engineering (0959-6518). Vol. 229 (2015), 2, p. 184-190.
[Artikel, refereegranskad vetenskaplig]

This article describes new high-order algorithms in the least-squares problem with harmonic regressor and strictly diagonally dominant information matrix. Estimation accuracy and the number of steps to achieve this accuracy are controllable in these algorithms. Simplified forms of the high-order matrix inversion algorithms and the high-order algorithms of direct calculation of the parameter vector are found. The algorithms are presented as recursive procedures driven by estimation errors multiplied by the gain matrices, which can be seen as preconditioners. A simple and recursive (with respect to order) algorithm for update of the gain matrix, which is associated with Neumann series, is found. It is shown that the limiting form of the algorithm (algorithm of infinite order) provides perfect estimation. A new form of the gain matrix is also a basis for unification method of high-order algorithms. New combined and fast convergent high-order algorithms of recursive matrix inversion and algorithms of direct calculation of the parameter vector are presented. The stability of algorithms is proved and explicit transient bound on estimation error is calculated. New algorithms are simple, fast and robust with respect to round-off error accumulation.

Nyckelord: Least-squares estimation, oscillating signals, harmonic regressor, strictly diagonally dominant matrix



Denna post skapades 2015-02-19.
CPL Pubid: 212865

 

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Institutioner (Chalmers)

Institutionen för energi och miljö, Elteknik

Ämnesområden

Reglerteknik

Chalmers infrastruktur