Dynamic System Identification via Randomized Stochastic Optimization Under Unknown-but-Bounded Noise

Abstract

Discretization in time and in the state space of the system leads to the necessity to solve the parameter identification problems for dynamic systems in a limited time (at a finite time interval) using observations obtained under the influence of unknown-but-bounded noise. Finding the solution in this case is more difficult compared to traditional identification problem setting which considers random independent zero-mean noise. For system parameter identification problem under unknown-but-bounded noise, a randomized stochastic optimization algorithm is given in the paper, estimates for the mean square values of the residuals for a finite observation interval are obtained. An example of application of the given method to the problem of tuning the parameters of a multi-mirror telescope is considered.