Gradient-Based Recursive Parameter Estimation Methods for a Class of Time-Varying Systems from Noisy Observations

It is essential for meeting the stringent real-time demands encountered in actual production scenarios. Employing the low computational complexity of recursive algorithms, some new schemes are developed for the parameter estimation of a class of time-varying systems. The temporal evolution of parameters is characterized through the autoregressive process, facilitating the construction of the identification model with regard to the autoregressive coefficients. Based on the computational efficiency of the gradient search, a parametric autoregression-based stochastic gradient algorithm is derived with an appropriate step size, achieving a compromise between the steepest descent and convergence rate. In order to address the limitation of the low estimation accuracy in gradient algorithms, a parametric autoregression-based multi-innovation stochastic gradient algorithm is explored by making use of the favorable information for corrections. The simulation results are given to demonstrate the effectiveness of the proposed algorithms. Therefore, for a class of time-varying systems whose parameters become the further insight through the autoregressive process, the proposed gradient methods can obtain the parameter estimates faster and more accurately while ensuring the real-time performance of time-varying systems.