Abstract
This paper presents a unified framework for the analysis of several discrete time adaptive parameter estimation algorithms, including RML with nonvanishing stepsize, several ARMAX identifiers, the Landau-style output error algorithms, and certain others for which no stability proof has yet appeared. A general algorithmic form is defined, incorporating a linear time-varying regressor filter and a linear time-varying error filter. Local convergence of the parameters in nonideal (or noisy) environments is shown via averaging theory under suitable assumptions of persistence of excitation, small stepsize, and passivity. The excitation conditions can often be transferred to conditions on external signals, and a small stepsize is appropriate in a wide range of applications. The required passivity is demonstrated for several special cases of the general algorithm.
Similar content being viewed by others
References
B. D. O. Anderson, R. R. Bitmead, C. R. Johnson, Jr., P. V. Kokotovic, R. L. Kosut, I. M. Y. Mareels, L. Praly, and B. D. Riedle,Stability of Adaptive Systems: Passivity and Averaging Analysis, MIT Press, Cambridge, MA, 1986.
B. D. O. Anderson and M. Gevers, Identifiability of linear stochastic systems operating under linear feedback,Automatica,18 (1982), 195–213.
B. D. O. Anderson and C. R. Johnson, Jr., Exponential convergence of adaptive identification and control algorithms,Automatica,18 (1982), 1–13.
R. R. Bitmead, Persistence of excitation conditions and the convergence of adaptive schemes,IEEE Trans. Inform. Theory,30 (1984), 183–191.
R. R. Bitmead and B. D. O. Anderson, Performance of adaptive estimation algorithms in dependent random environments,IEEE Trans. Automat. Control,25 (1980), 788–794.
R. R. Bitmead and C. R. Johnson, Jr., Discrete averaging principles and robust adaptive identification, inControl and Dynamic Systems: Advances in Theory and Applications (C. T. Leondes, ed.), Vol. 25, pp. 237–271, Academic Press, Orlando, FL, 1987.
S. Boyd and S. S. Sastry, On parameter convergence in adaptive control,Systems Control Lett.,3 (1983), 311–319.
S. Dasgupta and A. S. Bhagwat, Conditions for designing strictly positive real transfer functions for adaptive output error identification.IEEE Trans. Circuits and Systems,34 (1987), 731–736.
C. A. Desoer, Slowly varying discrete systemx i+1 =A i x i ,Electrons. Lett.,6 (1970), 339–340.
L. Dugard and G. C. Goodwin, Global convergence of Landau’s “Output error with adjustable compensator” adaptive algorithm,IEEE Trans. Automat. Control,30 (1985), 593–595.
P. Faurre, M. Clerget, and F. Germain,Operateurs Rationnels Positifs, Dunod, Paris, (1979).
B. Friedlander, System identification techniques for adaptive signal processing,IEEE Trans. Acoust. Speech Signal Process.,30 (1982), 240–246.
W. Hahn,Stability of Motion, Springer-Verlag, Berlin, 1967.
C. R. Johnson, Jr., A convergence proof for a hyperstable adaptive recursive filter,IEEE Trans. Inform. Theory,25 (1979), 745–749.
C. R. Johnson, Jr., Adaptive IIR filtering: current results and open issues,IEEE Trans. Inform. Theory,30 (1984), 237–250.
C. R. Johnson, Jr., and T. Taylor, Failure of a parallel adaptive identifier with adaptive error filtering,IEEE Trans. Automat. Control,25 (1980), 1248–1250.
R. L. Kosut, B. D. O. Anderson, and I. M. Y. Mareels, Stability theory for adaptive systems: methods of averaging and persistence of excitation,Proceedings of the 24th IEEE Conference on Decision and Control, Fort Lauderdale, FL, 1985, pp. 478–483.
I. D. Landau, Unbiased recursive identification using model reference adaptive techniques,IEEE Trans. Automat. Control,21 (1976), 194–202.
I. D. Landau, Elimination of the real positivity condition in the design of parallel MRAS,IEEE Trans. Automat. Control,23 (1978), 1015–1020.
I. D. LandauAdaptive Control: The Model Reference Approach, Marcel Dekker, New York, 1979.
M. G. Larimore, J. R. Treichler, and C. R. Johnson, Jr., SHARF: An algorithm for adapting IIR digital filters,IEEE Trans. Acoust. Speech Signal Process.,28 (1980), 428–440.
D. A. Lawrence, Adaptive System Stability Analysis via Energy Exchange, Ph.D. Thesis, Cornell University, June 1985.
D. A. Lawrence and C. R. Johnson Jr., Recursive parameter identification algorithm stability analysis via π-sharing,IEEE Trans. Automat. Control,31 (1986), 16–25.
L. Ljung, On positive real transfer functions and the convergence of some recursive schemes,IEEE Trans. Automat. Control,22 (1977), 539–551.
L. Ljung and T. Soderstrom,Theory and Practice of Recursive Identification, MIT Press, Cambridge, MA, 1983.
D. G. Luenberger,Optimization by Vector Space Methods, Wiley, New York, 1968.
J. M. Mendel,Discrete Techniques of Parameters Estimation: The Equation Error Formulation, Marcel Dekker, New York, 1973.
B. Riedle, L. Praly, and P. V. Kokotovics, Examination of the SPR condition in output error parameter estimation,Automatica,22, (1986), 495–498.
J. A. Sanders and F. Verhulst,Averaging Methods in Nonlinear Dynamical Systems, Springer-Verlag, New York, 1985.
V. Solo, The convergence of AML,IEEE Trans. Automat. Control 24 (1979), 958–962.
J. R. Treichler, C. R. Johnson, Jr., and M. G. Larimore,Theory and Design of Adaptive Filters, Wiley-Interscience, New York, 1987.
M. Vidyasagar,Nonlinear Systems Analysis, Prentice Hall, Englewood Cliffs, NJ, 1978.
B. Widrow, J. M. McCool, M. G. Larimore, and C. R. Johnson, Jr., Stationary and nonstationary learning characteristics of the LMS adaptive filter,Proc. IEEE,64 (1976), 1151–1162.
Author information
Authors and Affiliations
Additional information
The first and third authors were supported by NSF Grants ECS-8506149, INT-8513400, and MIP-8608787.
Research done while at the School of Electrical Engineering, Cornell University, Ithaca, New York 14853, U.S.A.
Rights and permissions
About this article
Cite this article
Sethares, W.A., Anderson, B.D.O. & Johnson, C.R. Adaptive algorithms with filtered regressor and filtered error. Math. Control Signal Systems 2, 381–403 (1989). https://doi.org/10.1007/BF02551278
Received:
Revised:
Issue Date:
DOI: https://doi.org/10.1007/BF02551278