Geodesic
Least-squares estimation for a long-horizon performance index
International Journal of Applied Mathematics and Computer Science, Tome 10 (2000) no. 3, pp. 559-573

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Estimation of a parametric, discrete-time model for a SISO dynamic plant, derived for minimisation of a performance index determined as a sum of squared prediction errors within some time horizon is considered. A formula for a Long-Horizon Least-Squares (LHLS) off-line solution as well as a theorem for an LHLS recursive on-line scheme are derived. The LHLS scheme reveals some features of Least-Squares (LS) estimation and Instrumental-Variable (IV) estimation. An algorithm for the on-line LHLS scheme is presented and compared with LS and IV estimation schemes for a linear, second-order system. The fast convergence of the derived LHLS on-line scheme is demonstrated in the case of detecting changes in parameters of a non-stationary system.
Keywords: identification, least squares estimation, prediction, recursive scheme
Mots-clés : identyfikacja, estymacja metodą najmniejszych kwadratów, przewidywanie 
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     author = {Janiszowski, K. B.},
     title = {Least-squares estimation for a long-horizon performance index},
     journal = {International Journal of Applied Mathematics and Computer Science},
     pages = {559--573},
     publisher = {mathdoc},
     volume = {10},
     number = {3},
     year = {2000},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/IJAMCS_2000_10_3_a5/}
}
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Janiszowski, K. B. Least-squares estimation for a long-horizon performance index. International Journal of Applied Mathematics and Computer Science, Tome 10 (2000) no. 3, pp. 559-573. http://geodesic.mathdoc.fr/item/IJAMCS_2000_10_3_a5/