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Identification of multiplicative parameters in stochastic bilinear systems

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2 Author(s)
C. S. Kubrusly ; Department of Research and Development, Scientific Computation Laboratory - LCC/CNPq, R. Lauro Müller 455, Rio de Janeiro, RJ, 22290, Brazil ; C. E. Pedreira

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