On-line estimation of dynamic systems parameters in the presence of outliers in observations

Article type: Research Article

Authors: Pupeikis, Rimantas

Affiliations: Institute of Mathematics and Informatics, 2600 Vilnius, Akademijos St.4, Lithuania

Abstract: In the previous papers (Novovičova, 1987; Pupeikis 1991) the problem of recursive least square (RLS) estimation of dynamic systems parameters in the presence of outliers in observations has been considered, when the filter, generating an additive noise, has a transfer function of a particular form, see Fig. 1, 2. The aim of the given paper is the development of well-known classical techniques for robust on-line estimation of unknown parameters of linear dynamic systems in the case of additive noises with different transfer functions. In this connection various ordinary recursive procedures, see Fig. 2–6, are worked out when systems' output is corrupted by the correlated noise containing outliers. The results of numerical simulation by IBM PC/AT (Table 1) are given.

Keywords: dynamic system, parameter estimation, recursive algorithm, outlier, robustness

DOI: 10.3233/INF-1994-51-211

Journal: Informatica, vol. 5, no. 1-2, pp. 189-210, 1994