The Identification of Linear Stochastic Systems
AIR FORCE INST OF TECH WRIGHT-PATTERSON AFB OH SCHOOL OF ENGINEERING
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The report considers the problem of the identification of linear stochastic systems. A current state-of-the-art assessment of the general field of system identification is given, and criteria for the classification and selection of identification methods are presented and discussed. Several of the more papular identification methods from the literature are investigated and summarized. A bibliography containing 185 references, keyed by identification methods and other relevant headings, is included. Using the state variable formulation for a discrete linear stochastic system, a detailed exposition of a few of the on-line identification methods currently appearing in the literature is presented.
- Statistics and Probability