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Stochastic peak tracking and the Kalman filter

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1 Author(s)
Chang, S. ; State University of New York, Stony Brook, NY, USA

The peak tracking problem can be reduced to a Kalman falter problem [1] with the additional variable of the excursion amplitude c , which is then obtained by maximizing the expected peak. In the special case where the parameters do not change, the method yields two tracking procedures depending on the criterion used: 1) Tracking for a limited time and then settling for the parameter value so determined. It is shown that the expected error is proportional to t-1, where t is the tracking time [2]. 2) A procedure which agrees with the Kiefer-Wolfowitz stochastic approximation method [3]. It is shown further that the expected total reduction in peak value (due to error and hunting loss) is proportional to t^{-1/2}.

Published in:

Automatic Control, IEEE Transactions on  (Volume:13 ,  Issue: 6 )