Identification of time-delay Markov jump autoregressive exogenous systems with expectation-maximization algorithm

摘要

This paper is concerned with the identification problem of the Markov jump autoregressive exogenous system with an unknown time delay. The considered problem is solved using the expectation-maximization algorithm, which estimates the parameters of local models, Markov transition probabilities, and time delay simultaneously. A numerical example and a simulated continuous fermentation reactor example are given to illustrate the capability of the proposed method. It shows that the influences of time delay during identification can be overcome by the proposed algorithm effectively.