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Newton-Raphson algorithm for the recursive generalized least-squares identification

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2 Author(s)
Unton, F. ; Polish Academy of Sciences, Warsaw, Poland ; Weinfeld, R.

A new variant of the Newton-Raphson algorithm for the recursive generalized least-squares identification is proposed. As compared to an earlier one [2], it uses the exactly computed Hessian and gradient. In this way, significant improvement of identification accuracy is obtained.

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Automatic Control, IEEE Transactions on  (Volume:31 ,  Issue: 7 )