Elementwise decoupling and convergence of the Riccati equation in the SG algorithm
2009 (English)In: Automatica, ISSN 0005-1098, Vol. 45, no 6, 1524-1529 p.Article in journal (Refereed) Published
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.
Riccati equations, Recursive estimation, Discrete systems, Windup, Exponentially stable
Engineering and Technology
IdentifiersURN: urn:nbn:se:uu:diva-119901DOI: 10.1016/j.automatica.2009.02.010ISI: 000267199500023OAI: oai:DiVA.org:uu-119901DiVA: diva2:301253