Linear stochastic systems
Jointly performed computational tasks in the multi-mode system identification
ICCS'03 Proceedings of the 2003 international conference on Computational science: PartII
ICCS'03 Proceedings of the 2003 international conference on Computational science: PartII
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In this article we analyse computational processes andinvestigate characteristics of iterative stochastic algorithms for control and identification based on the auxiliary performance index (API) approach. A workable API is the one which (1) depends on available values only, (2) has the same domain as the original performance index (OPI) has, and(3) achieves its minimum at the same point in the domain as the OPI does. In the article we show that the proposed method for replacing the OPI by an API is applicable for identification the discrete-time steady-state Kalman filter included into the closed-loop stochastic control systems.