Time-Varying Parameter Estimation under Stochastic Perturbations using LSM

摘要

In this paper, we deal with the problem of continuous-time time-varying parameter estimation in stochastic systems, under three different kinds of stochastic perturbations: additive and multiplicative white noise, and coloured noise. The proposed algorithm is based on the least squares method with forgetting factor. Some numerical examples illustrate the effectiveness of the proposed algorithm. An analysis of the estimation error for the system under the three different kinds of perturbations is presented.