随机多变量连续系统的辨识

STOCHASTIC MULTIVARIABLE CONTINUE-TIME SYSTEM IDENTIFICATION

本文讨论了由随机向量微分方程描述的多变量连续系统的辨识问题。虽然假定微分方程中的噪声项是白噪声,但是用方脉冲函数积分微分方程后,所得到的代数方程中的噪声项却是有色噪声。为了得到无偏的参数估计,本文提出一种预滤波方法。仿真例子表明这种方法是很有效的。

In this paper,the identification problem of stochastic multivariable continuous-time system which is described by a stochastic vector differential equation is discussed.By using block-pulse function integration} the differential equation is transformed into a algebraic equation.Although the noise in the differential equation is white the noise in the algebraic equation is coloured.In order to get unbiased parameter estimate,a prefiltering method is proposed.The simulation results show that this method is effective.