System Identification Toolbox

Recursive Parameter Estimation

In many cases it may be necessary to estimate a model on line at the same time as the input-output data is received. You may need the model to make some decision on line, as in adaptive control, adaptive filtering, or adaptive prediction. It may be necessary to investigate possible time variation in the system's (or signal's) properties during the collection of data. Terms like recursive identification, adaptive parameter estimation, sequential estimation, and online algorithms are used for such algorithms. Chapter 11 in Ljung (1999) deals with such algorithms in some detail.

Delays

The Basic Algorithm