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Maximum Likelihood-Based Recursive Least-Squares Algorithm for Multivariable Systems with Colored Noises Using the Decomposition Technique

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Abstract

This paper considers the parameter estimation problems for a class of multivariable equation-error systems with colored noises. By using the decomposition technique, a multivariable system is transformed into several subsystems to reduce the computational burden, and a maximum likelihood-based recursive least-squares identification algorithm is developed for estimating the parameters of each subsystem. As a comparison, a multivariable recursive extended least-squares algorithm is presented. The analysis indicates that the proposed algorithm has lower computational complexity than the multivariable recursive extended least-squares algorithm, and the numerical simulation results demonstrate that the proposed method is effective.

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Acknowledgements

The authors are grateful to Professor Feng Ding at the Jiangnan University for his helpful suggestions and the main idea of this work comes from him and his books. This work was supported by the National Natural Science Foundation of China (No. 61273194) and the 111 Project (B12018).

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Authors and Affiliations

  1. Key Laboratory of Advanced Process Control for Light Industry (Ministry of Education), Jiangnan University, Wuxi, 214122, People’s Republic of China

    Huafeng Xia & Ling Xu

  2. Taizhou Electric Power Conversion and Control Engineering Technology Research Center, Taizhou University, Taizhou, 225300, People’s Republic of China

    Huafeng Xia

  3. College of Automation and Electronic Engineering, Qingdao University of Science and Technology, Qingdao, 266042, People’s Republic of China

    Yan Ji

  4. Nonlinear Analysis and Applied Mathematics (NAAM) Research Group, Department of Mathematics, Faculty of Science, King Abdulaziz University, Jeddah, 21589, Saudi Arabia

    Tasawar Hayat

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  1. Huafeng Xia
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Correspondence to Huafeng Xia.

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Xia, H., Ji, Y., Xu, L. et al. Maximum Likelihood-Based Recursive Least-Squares Algorithm for Multivariable Systems with Colored Noises Using the Decomposition Technique. Circuits Syst Signal Process 38, 986–1004 (2019). https://doi.org/10.1007/s00034-018-0904-7

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