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Recursive identification with regularization and on-line hyperparameters estimation (2401.00097v3)
Published 29 Dec 2023 in stat.ME, cs.SY, eess.SY, and math.OC
Abstract: This paper presents a regularized recursive identification algorithm with simultaneous on-line estimation of both the model parameters and the algorithms hyperparameters. A new kernel is proposed to facilitate the algorithm development. The performance of this novel scheme is compared with that of the recursive least squares algorithm in simulation.
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