Journal
IET CONTROL THEORY AND APPLICATIONS
Volume 14, Issue 10, Pages 1276-1286Publisher
INST ENGINEERING TECHNOLOGY-IET
DOI: 10.1049/iet-cta.2019.0731
Keywords
stochastic processes; gradient methods; autoregressive moving average processes; identification; multivariable equation-error autoregressive moving average systems; sub-identification models; model decomposition; two-stage generalised extended stochastic gradient algorithm; two-stage multiple innovation GESG algorithm; multivariable EEARMA systems; innovation matrices; two-stage MI-GESG algorithm; two-stage GESG algorithm; two-stage multiinnovation gradient methods; multivariable EEARMA model
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Funding
- National Natural Science Foundation of China [61873111]
- 111 Project [B12018]
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This study presents the modelling technology of multivariable equation-error autoregressive moving average (EEARMA) systems through observational data of systems. Aiming to develop a simplified identification algorithm, the original multivariable EEARMA model to be identified is separated into two sub-identification models. After the model decomposition, a two-stage generalised extended stochastic gradient (GESG) algorithm is presented in accordance with these two separated submodels. By adding more observations to the recursive computation, the corresponding two-stage multi-innovation GESG (MI-GESG) algorithm, namely, hierarchical multi-innovation generalised extended stochastic gradient algorithm, is derived for the multivariable EEARMA systems through expanding the innovation vector to the innovation matrices. The simulation example verifies that the performance about the computational accuracy of the two-stage MI-GESG algorithm is improved compared with the two-stage GESG algorithm.
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