1st Edition
Recursive Identification and Parameter Estimation
Dependent Random Vectors
Some Concepts of Probability Theory
Independent Random Variables, Martingales, and Martingale Difference Sequences
Markov Chains with State Space (Rm;Bm)
Mixing Random Processes
Stationary Processes
Notes and References
Recursive Parameter Estimation
Parameter Estimation as Root-Seeking for Functions
Classical Stochastic Approximation Method: RM Algorithm
Stochastic Approximation Algorithm with Expanding Truncations
SAAWET with Nonadditive Noise
Linear Regression Functions
Convergence Rate of SAAWET
Notes and References
Recursive Identification for ARMAX Systems
LS and ELS for Linear Systems
Estimation Errors of LS/ELS
Hankel Matrices Associated with ARMA
Coefficient Identification of ARMAX by SAAWET
Order Estimation of ARMAX
Multivariate Linear EIV Systems
Notes and References
Recursive Identification for Nonlinear Systems
Recursive Identification of Hammerstein Systems
Recursive Identification of Wiener Systems
Recursive Identification of Wiener–Hammerstein Systems
Recursive Identification of EIV Hammerstein Systems
Recursive Identification of EIV Wiener Systems
Recursive Identification of Nonlinear ARX Systems
Notes and References
Other Problems Reducible to Parameter Estimation
Principal Component Analysis
Consensus of Networked Agents
Adaptive Regulation for Hammerstein and Wiener Systems
Convergence of Distributed Randomized PageRank Algorithms
Notes and References
Appendices:
Proof of Some Theorems in Chapter 1
Nonnegative Matrices
References
Index
Biography
Han-Fu Chen graduated from the Leningrad (St. Petersburg) State University and joined the Institute of Mathematics, Chinese Academy of Sciences (CAS). Since 1979, he has been with the Institute of Systems Science, being now a part of the Academy of Mathematics and Systems Science, CAS. He is a professor of the Key Laboratory of Systems and Control of CAS. His research interests are mainly in stochastic systems, including system identification, adaptive control, and stochastic approximation and its applications to systems, control, and signal processing. He authored and coauthored more than 200 journal papers and seven books.
Han-Fu Chen served as an IFAC Council member (2002–2005), president of the Chinese Association of Automation (1993–2002), and a permanent member of the Council of the Chinese Mathematics Society (1991–1999). He is an IEEE fellow, IFAC fellow, a member of TWAS, and a member of CAS.
Wenxiao Zhao received his BSc degree from the Department of Mathematics, Shandong University, China in 2003 and the PhD degree from the Institute of Systems Science, AMSS, the Chinese Academy of Sciences (CAS) in 2008. After this he was a postdoctoral student at the Department of Automation, Tsinghua University.
During this period he visited the University of Western Sydney, Australia, for nine months. Then, Dr. Zhao joined the Institute of Systems Sciences, CAS in 2010. He now is with the Key Laboratory of Systems and Control, CAS as an associate professor. His research interests are in system identification, adaptive control, and system biology. He serves as the general secretary of the IEEE Control Systems Beijing Chapter and an associate editor of the Journal of Systems Science and Mathematical Sciences
