Convergence of Output Error Recursions in Infinite Order Moving Average Noise. (Reannouncement with New Availability Information).

摘要

We consider the problem of the global convergence of the output error identification scheme in the presence of colored noise. The adaptation scheme utilizes at each step a projection of the parameter estimate vector onto a compact, convex set known to contain the true parameter. We establish convergence of the scheme for infinite order moving average noise with geometrically decaying weights.... Adaptive control, Stochastic systems.