Recursive Bayesian Algorithm for Identification of Systems with Non-uniformly Sampled Input Data

Abstract

To identify systems with non-uniformly sampled input data, a recursive Bayesian identification algorithm with covariance resetting is proposed. Using estimated noise transfer function as a dynamic filter, the system with colored noise is transformed into the system with white noise. In order to improve estimates, the estimated noise variance is employed as a weighting factor in the algorithm. Meanwhile, a modified covariance resetting method is also integrated in the proposed algorithm to increase the convergence rate. A numerical example and an industrial example validate the proposed algorithm.