Least-squares parameter estimation of linear systems with noisy input–output data

Abstract

This paper studies the computational efficiency of the bias-eliminated least-squares (BELS) method recently proposed for estimating linear systems in the presence of input and output noises. It is found that the BELS method based on expanding the denominator polynomial of the system transfer function by two dimensions may involve some redundant computations due to its handling of an augmented system model in its estimation scheme. To improve the computational efficiency, a direct estimation scheme is proposed to identify the underlying noisy input–output system. Numerical results show that the computational cost can be considerably reduced using such a new estimation scheme.

Keywords:

• Parameter estimation
• Least-squares method
• Linear systems
• Computational efficiency

Acknowledgments

This work was supported in part by a Research Grant from the Australian Research Council and in part by a Research Grant from the University of Western Sydney, Australia.