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Recursive Least-squares Estimation for Multivariable Systems Based on the Maximum Likelihood Principle

Huafeng Xia, Yongqing Yang, and Feng Ding*
International Journal of Control, Automation, and Systems, vol. 18, no. 2, pp.503-512, 2020

Abstract : This paper studies the identification problem of multivariable controlled autoregressive moving average systems. For the case with a parameter matrix and an unmeasurable vector in the system identification model, we transform the model into several submodels based on the number of the outputs. A maximum likelihood-based recursive least-squares algorithm is derived to identify the parameters of each submodel. A multivariable recursive extended least-squares algorithm is provided as a comparison. The effectiveness of the proposed identification algorithm is verified by simulation examples.

Keyword : Decomposition, maximum likelihood, multivariable system, parameter estimation.

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