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Estimating Parameters of Stochastic Nonlinear Dynamic System with Use of Gradient Method

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1 Author(s)
I. A. Kotelnikov ; Novosibirsk State Tech. Univ., Novosibirsk

The problem of estimating parameters of stochastic dynamic nonlinear system by gradient method is considered. The gradient method is applied to the criterion of normalized one-step-ahead error minimum which is calculated by extended linearized Kalman filter. The gradient calculation algorithm for this target function is obtained. Performance of the method is shown on an example of three univariate linear dynamic systems mixture.

Published in:

2006 8th International Conference on Actual Problems of Electronic Instrument Engineering

Date of Conference:

26-28 Sept. 2006