多变量受控自回归滑动平均系统的极大似然辨识方法

doi:10.6040/j.issn.1672-3961.0.2014.359

山东大学学报(工学版) ›› 2015, Vol. 45 ›› Issue (2): 49-55.doi: 10.6040/j.issn.1672-3961.0.2014.359

多变量受控自回归滑动平均系统的极大似然辨识方法

高艳普¹, 王向东², 王冬青¹

1. 青岛大学自动化工程学院, 山东青岛 266071;
2. 青岛海大海洋仪器开发有限公司, 山东青岛 266003

收稿日期:2014-12-10 修回日期:2015-04-03 出版日期:2015-04-20 发布日期:2014-12-10
通讯作者: 王冬青(1964-),女,山东即墨人,教授,博士,主要研究方向为复杂系统建模与自适应控制.E-mail:dqwang64@163.com E-mail:dqwang64@163.com
作者简介:高艳普(1990-),女,河南平顶山人,硕士研究生,主要研究方向为系统辨识,自适应控制.E-mail:1132449651@qq.com
基金资助:
国家自然科学基金资助课题(61104001)

Maximum likelihood identification method for a multivariable controlled autoregressive moving average system

GAO Yanpu¹, WANG Xiangdong², WANG Dongqing¹

1. College of Automation Engineering, Qingdao University, Qingdao 266071, Shandong, China;
2. Qingdao Haida Ocean Instrument Co.Ltd, Qingdao 266003, Shandong, China

Received:2014-12-10 Revised:2015-04-03 Online:2015-04-20 Published:2014-12-10

摘要/Abstract

摘要： 提出了一种针对多变量受控自回归滑动平均(controlled autoregressive moving average system-like, CARMA-like)系统的极大似然参数估计算法。将CARMA-like系统分解成为m个辨识模型(m是输出量的个数),使每一个辨识模型仅包含一个需要估计的参数向量,通过极大似然方法估计每个辨识模型的参数向量,从而得到整个系统的参数估计值。仿真结果验证了该算法的有效性。

关键词: 多变量系统, 极大似然法, 参数辨识, 最小二乘法, CARMA模型

Abstract: An algorithm of maximum likelihood method for parameters estimate was presented aimed at multivariable controlled autoregressive moving average (CARMA-like). The algorithm transform the CARMA-like system into m identification models (m is the output numbers), each of which only had a parameter vector which needed to be estimated, and then through maximum likelihood method for estimating parameter vectors of each identification model, and all parameters estimate of the system were obtained. Simulation results verified the effectiveness of the proposed algorithm.

Key words: multivariable systems, least squares, controlled autoregressive moving average (CARMA) model, maximum likelihood, parameter estimation

中图分类号:

TP301

高艳普, 王向东, 王冬青. 多变量受控自回归滑动平均系统的极大似然辨识方法[J]. 山东大学学报(工学版), 2015, 45(2): 49-55.

GAO Yanpu, WANG Xiangdong, WANG Dongqing. Maximum likelihood identification method for a multivariable controlled autoregressive moving average system[J]. JOURNAL OF SHANDONG UNIVERSITY (ENGINEERING SCIENCE), 2015, 45(2): 49-55.

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多变量受控自回归滑动平均系统的极大似然辨识方法

Maximum likelihood identification method for a multivariable controlled autoregressive moving average system

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