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Identification of multiplicative parameters in stochastic bilinear systems

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2 Author(s)
Kubrusly, C.S. ; Dept. of Res. & Dev., Sci. Computation Lab., Rio de Janeiro, Brazil ; Pedreira, C.E.

A new method for identifying multiplicative parameters (i.e. the matrix-valued coefficients of the multiplicative state feedback) appearing in discrete-time bilinear models is proposed. The system is supposed to operate in a stochastic environment where the noisy output is the only sequence available for measurements. Ergodicity is not assumed, and the probability distributions involved may be arbitrary and unknown. A correlative identification technique is presented which uses stochastic approximation algorithms for estimating (with probability one) the unknown parameters. Simulated results are included.

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Systems, Man and Cybernetics, IEEE Transactions on  (Volume:SMC-14 ,  Issue: 2 )