2020年7月11日
An Estimation Method of Innovations Model in Closed-Loop Environment with Lower Horizons
Preprints of the 21st IFAC World Congress
- ,
- 記述言語
- 英語
- 会議種別
- 開催地
- Berlin
This paper proposes an estimation method of the innovations model in closed loop environment by using the estimate of the innovations process. The estimate of the innovations process from the finite interval of data has a bias, so are the estimate of the proposed method. However, it is analyzed that the bias can be reduced. The Kalman gain and the covariance of the innovations process are estimated by using a semi-definite programming problem previously proposed by the authors. Numerical simulation illustrates the proposed method gives better performance than Closed-Loop MOESP and PBSID when the data length is large and the past horizon is selected low.
- リンク情報