Flexible Least Squares Algorithm for Switching Models

Complexity 2022:1-11 (2022)
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Abstract

The self-organizing model and expectation-maximization method are two traditional identification methods for switching models. They interactively update the parameters and model identities based on offline algorithms. In this paper, we propose a flexible recursive least squares algorithm which constructs the cost function based on two kinds of errors: the neighboring two-parameter estimation errors and the output estimation errors. Such an algorithm has several advantages over the two traditional identification algorithms: it can estimate the parameters of all the sub-models without prior knowledge of the model identities; has less computational efforts; and can update the parameters with newly arrived data. The convergence properties and simulation examples are provided to illustrate the efficiency of the algorithm.

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