Instrumental Variables and LSM in continuous-time parameter estimation∗
1 School of Mechanical and Electrical Engineering, National
Polytechnic Institute, Department of Control Automatics, Av. IPN Col. Lindavista 07738 Mexico City, Mexico.
2 Division of Automatic Control, University of Linköping, 581 83 Linköping, Sweden.
Revised: 21 April 2015
Accepted: 27 October 2015
In this paper the main goal is to compare the instrumental variables and the least squares methods applied to parameter estimation in continuous-time systems, avoiding any preliminary discretization of the process, and to analyse which method is more suitable for estimation in continuous-time under stochastic perturbations. A numerical example illustrates the effectiveness of the algorithms.
Mathematics Subject Classification: 93E03 / 60H10 / 93E10
Key words: Parameter estimation / continuous-time / stochastic systems / instrumental variable
© EDP Sciences, SMAI 2016