Abstract
An on-line non-linear parameter identification algorithm is introduced. The system parameters are considered to be time varying. This algorithm is based on Viterbi algorithm applied to finite state models. It allows the identification based on the dynamic continuous output of the system. The algorithm is first applied to first order dynamic systems, then it is extended to a higer order systems. In order to reduce the complexity of the parameters discretisation, these parameters are supposed to be decoupled with respect to noise. Preliminary Simulation results are given.KeywordsStochastic processhidden Markov chainStochastic dynamic programmingParameter identification.
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