Parameter Estimation for Time-Variant Processes

Abstract

For many real processes, the parameters of the governing linear difference equations are not constant. They rather vary over time due to internal or external influences. Also, quite often non-linear processes can only be linearized in a small interval around the current operating point. If the operating point changes, also the linearized dynamics will change in this case. For slow changes of the operating point, one can obtain good results with linear difference equations that contain time-varying parameters. The method of recursive least squares (see Chap. 9) can also be used to identify time-varying parameters. Different methods are introduced in the following that allow to track the changes of time varying parameters with the method of least squares.