ACCURATE LINEAR PARAMETER ESTIMATION WITH NOISY INPUTS

摘要

A method of building a model (110) for a physical plant (105) in the presence of noise can include initializing the model (110) of the physical plant (105), wherein the model is characterized by a parameter vector (205), estimating an output (210) of the model (110), and computing a composite (225) cost comprising a weighted average of an error (215) between the estimated output from the model (110) and an actual output of the physical plant (105), and a derivative of the error (225). The method further can include determining a step size and a model update direction. The model (110) of the physical plant (105) can be updated (230). The updating step can be dependent upon the step size. Another embodiment can include the steps of determining a Kalman gain and determining an error vector comprised of two entries weighted by a scalar parameter.