Informatica

The instrumental variable (IV) method is one of the most renowned methods for parameter estimation. Its bigger advantage is that it is applicable for open-loop as well as for closed-loop systems. The main difficulty in closed-loop identification is due to the correlation between the disturbances and the control signal induced by the loop. In order to overcome this problem, additional excitation signal is introduced. Non-recursive modifications of the instrumental variable method for closed-loop system identification on the base of a generalized IV method have been developed (Atanasov and Ichtev, 2009; Gilson and Van den Hof, 2001; Gilson and Van den Hof, 2003). In this paper, recursive algorithms for theses modifications are proposed and investigated. A simulation is carried out in order to illustrate the obtained results.

Least-squares method is the most popular method for parameter estimation. It is easy applicable, but it has considerable drawback. Under well-known conditions in the presence of noise, the LS method produces asymptotically biased and inconsistent estimates. One way to overcome this drawback is the implementation of the instrumental variable method. In this paper several modifications of this method for closed-loop system identification are considered and investigated. The covariance matrix of the instrumental variable estimates is discussed. A simulation is carried out in order to illustrate the obtained results.

In the previous papers (Pupeikis, 2000; Genov et al., 2006), a direct approach for estimating the parameters of a discrete-time linear time-invariant (LTI) dynamic system, acting in a closed-loop in the case of additive correlated noise with contaminating outliers uniformly spread in it, is presented. It is assumed here that the parameters of the LQG (Linear Quadratic Gaussian Control) controller are known beforehand. The aim of the given paper is development of a parametric identification approach for a closed-loop system when the parameters of an LTI system as well as that of LQG controller are not known and ought to be estimated. The recursive techniques based on an the M- and GM- estimator algorithms are applied here in the calculation of the system as well as noise filter parameters. Afterwards, the recursive parameter estimates are used in each current iteration to determine unknown parameters of the LQG-controller, too. The results of numerical simulation by computer are discussed.