Time-Varying Parameter Estimation under Stochastic Perturbations Using LSM, Report no. LiTH-ISY-R-3019


In this paper, we deal with the problem of continuous-time timevarying parameter estimation in stochastic systems, under 3 different kinds of stochastic perturbations: additive and multiplicative white noise, and colored noise. The proposed algorithm is based on the Least Squares Method with forgetting factor. Some numerical examples illustrate the… (More)


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