Recursive Identification Methods for Off-Line Identification Problems

Abstract

Many recursive identification methods have been developed for online estimation of parameters in dynamical systems. Such methods can also be applied to data for off-line problems, usually by passing the data through the recursive identifier a couple of times. In this paper such an approach is discussed.Suppose that a recursive identification method is applied to a data string obtained by concatenation of the original finite data record. It is proved that the recursive identification method will then converge to a (local) minimum of the off-line, finite data, identification criterion. We also provide some arguments why recursive identification may be a competitive way of performing the minimization. The results are illustrated with simulations.