Title: Recursive identification of state space systems with coloured process noise and measurement noise

Authors: Fang Zhu; Xuehai Wang

Addresses: Institute of Education Science, Xinyang Normal University, Xinyang 464000, Henan, China ' School of Mathematics and Statistics, Xinyang Normal University, Xinyang 464000, Henan, China

Abstract: This paper concerns the modelling and identification of the state space system, in which both coloured process noise and measurement noise are encountered. By using the state filtering, the state space system with coloured process noise is transformed into a model without correlated noise, and a state filtering-based parameter estimation algorithm is derived on the base of designing a state filter observer using the multi-innovation identification. The validity of the proposed algorithm is verified by given simulation examples.

Keywords: parameter estimation; recursive identification; filtering technique; state estimation.

DOI: 10.1504/IJCAT.2021.121525

International Journal of Computer Applications in Technology, 2021 Vol.67 No.2/3, pp.129 - 140

Received: 18 Oct 2020
Accepted: 06 Jan 2021
Published online: 17 Mar 2022 *

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