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Elementwise decoupling and convergence of the Riccati equation in the SG algorithm
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Automatic control. (reglerteknik)
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Automatic control. (reglerteknik)
2009 (English)In: Automatica, ISSN 0005-1098, E-ISSN 1873-2836, Vol. 45, no 6, 1524-1529 p.Article in journal (Refereed) Published
Abstract [en]

It is shown that the difference Riccati equation of the Stenlund-Gustafsson (SG) algorithm for estimation of linear regression models can be solved elementwise. Convergence estimates for the elements of the solution to the Riccati equation are provided, directly relating convergence rate to the signal-to-noise ratio in the regression model. It is demonstrated that the elements of the solution lying in the direction of excitation exponentially converge to a stationary point while the other elements experience bounded excursions around their current values.

Place, publisher, year, edition, pages
2009. Vol. 45, no 6, 1524-1529 p.
Keyword [en]
Riccati equations, Recursive estimation, Discrete systems, Windup, Exponentially stable
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:uu:diva-119901DOI: 10.1016/j.automatica.2009.02.010ISI: 000267199500023OAI: oai:DiVA.org:uu-119901DiVA: diva2:301253
Available from: 2010-03-03 Created: 2010-03-03 Last updated: 2017-12-12Bibliographically approved

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Medvedev, Alexander

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