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Data Filtering Based Recursive Least Squares Algorithm for Two-Input Single-Output Systems with Moving Average Noises

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  • Xianling Lu
  • Wei Zhou
  • Wenlin Shi

Abstract

This paper studies identification problems of two-input single-output controlled autoregressive moving average systems by using an estimated noise transfer function to filter the input-output data. Through data filtering, we obtain two simple identification models, one containing the parameters of the system model and the other containing the parameters of the noise model. Furthermore, we deduce a data filtering based recursive least squares method for estimating the parameters of these two identification models, respectively, by replacing the unmeasurable variables in the information vectors with their estimates. The proposed algorithm has high computational efficiency because the dimensions of its covariance matrices become small. The simulation results indicate that the proposed algorithm is effective.

Suggested Citation

  • Xianling Lu & Wei Zhou & Wenlin Shi, 2014. "Data Filtering Based Recursive Least Squares Algorithm for Two-Input Single-Output Systems with Moving Average Noises," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-8, March.
  • Handle: RePEc:hin:jnljam:694053
    DOI: 10.1155/2014/694053
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