Recursive Identification of Binary-Valued Systems under Uniform Persistent Excitations (2212.01777v2)

Abstract: This paper studies the control-oriented identification problem of set-valued moving average systems with uniform persistent excitations and observation noises. A stochastic approximation-based (SA-based) algorithm without projections or truncations is proposed. The algorithm overcomes the limitations of the existing empirical measurement method and the recursive projection method, where the former requires periodic inputs, and the latter requires projections to restrict the search region in a compact set.To analyze the convergence property of the algorithm, the distribution tail of the estimation error is proved to be exponentially convergent through an auxiliary stochastic process. Based on this key technique, the SA-based algorithm appears to be the first to reach the almost sure convergence rate of $ O(\sqrt{\ln\ln k/k}) $ theoretically in the non-periodic input case. Meanwhile, the mean square convergence is proved to have a rate of $ O(1/k) $, which is the best one even under accurate observations. A numerical example is given to demonstrate the effectiveness of the proposed algorithm and theoretical results.