Geodesic
Instrumental variables and LSM in continuous-time parameter estimation
Escobar, Jesica 1   ; Enqvist, Martin 2
1 School of Mechanical and Electrical Engineering, National Polytechnic Institute, Department of Control Automatics, Av. IPN Col. Lindavista 07738 Mexico City, Mexico.
2 Division of Automatic Control, University of Linköping, 581 83 Linköping, Sweden.
ESAIM: Control, Optimisation and Calculus of Variations, Tome 23 (2017) no. 2, pp. 427-442 Cet article a éte moissonné depuis la source Numdam

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In this paper the main goal is to compare the instrumental variables and the least squares methods applied to parameter estimation in continuous-time systems, avoiding any preliminary discretization of the process, and to analyse which method is more suitable for estimation in continuous-time under stochastic perturbations. A numerical example illustrates the effectiveness of the algorithms.

Reçu le :
Accepté le :
DOI : 10.1051/cocv/2015052
Classification : 93E03, 60H10, 93E10
Keywords: Parameter estimation, continuous-time, stochastic systems, instrumental variable

Escobar, Jesica  1   ; Enqvist, Martin  2

1 School of Mechanical and Electrical Engineering, National Polytechnic Institute, Department of Control Automatics, Av. IPN Col. Lindavista 07738 Mexico City, Mexico.
2 Division of Automatic Control, University of Linköping, 581 83 Linköping, Sweden. 
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     title = {Instrumental variables and {LSM} in continuous-time parameter estimation},
     journal = {ESAIM: Control, Optimisation and Calculus of Variations},
     pages = {427--442},
     year = {2017},
     publisher = {EDP-Sciences},
     volume = {23},
     number = {2},
     doi = {10.1051/cocv/2015052},
     mrnumber = {3608087},
     zbl = {1358.93159},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/cocv/2015052/}
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Escobar, Jesica; Enqvist, Martin. Instrumental variables and LSM in continuous-time parameter estimation. ESAIM: Control, Optimisation and Calculus of Variations, Tome 23 (2017) no. 2, pp. 427-442. doi: 10.1051/cocv/2015052

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