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SVD-Based Parameter Identification of Discrete-Time Stochastic Systems with Unknown Exogenous Inputs

Author

Listed:
  • Andrey Tsyganov

    (Department of Mathematics, Physics and Technology Education, Ulyanovsk State University of Education, 432071 Ulyanovsk, Russia)

  • Yulia Tsyganova

    (Department of Mathematics, Information and Aviation Technology, Ulyanovsk State University, 432017 Ulyanovsk, Russia)

Abstract

This paper addresses the problem of parameter identification for discrete-time stochastic systems with unknown exogenous inputs. These systems form an important class of dynamic stochastic system models used to describe objects and processes under a high level of a priori uncertainty, when it is not possible to make any assumptions about the evolution of the unknown input signal or its statistical properties. The main purpose of this paper is to construct a new SVD-based modification of the existing Gillijns and De Moor filtering algorithm for linear discrete-time stochastic systems with unknown exogenous inputs. Using the theoretical results obtained, we demonstrate how this modified algorithm can be applied to solve the problem of parameter identification. The results of our numerical experiments conducted in MATLAB confirm the effectiveness of the SVD-based parameter identification method that was developed, under conditions of unknown exogenous inputs, compared to maximum likelihood parameter identification when exogenous inputs are known.

Suggested Citation

  • Andrey Tsyganov & Yulia Tsyganova, 2024. "SVD-Based Parameter Identification of Discrete-Time Stochastic Systems with Unknown Exogenous Inputs," Mathematics, MDPI, vol. 12(7), pages 1-13, March.
    • Handle: RePEc:gam:jmathe:v:12:y:2024:i:7:p:1006-:d:1365413
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    References listed on IDEAS

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    1. Andrey Tsyganov & Yulia Tsyganova, 2023. "SVD-Based Identification of Parameters of the Discrete-Time Stochastic Systems Models with Multiplicative and Additive Noises Using Metaheuristic Optimization," Mathematics, MDPI, vol. 11(20), pages 1-13, October.
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