Identification and Adaptive Control of Change-Point ARX Models Via Rao-Blackwellized Particle Filters

Abstract

By proper choice of proposal distributions for importance sampling and of resampling schemes for sequentially updating the importance weights, we address the problem of on-line identification and adaptive control of autoregressive models with exogenous inputs (ARX models) with Markov parameter jumps. Particle filters that can be implemented online via… (More)
DOI: 10.1109/TAC.2006.887913

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