Asymptotically Vanishing Excitation Without Loss of Parameter Convergence

Abstract: Parameter convergence in recursive identification requires persistent excitation, which is typically enforced with a probing signal that degrades performance if retained indefinitely. Regulating the probing amplitude with the one-step prediction error is insufficient, since a small prediction error does not imply parameter convergence. This paper proposes a self-regulating excitation law that scales the probing amplitude with the associated covariance matrix, so that the excitation vanishes only as fast as the estimator's own measure of remaining parameter uncertainty allows. The key idea is that the excitation amplitude must decay more slowly than the covariance measure, the largest eigenvalue of the covariance matrix in this work, for parameter convergence to be preserved. Under the proposed excitation law, the excitation amplitude and the covariance measure are shown to jointly converge to zero while the parameter estimate converges to the true parameter, with the excitation vanishing more slowly than the covariance measure throughout. A scalar exponent in the law trades the rate of covariance decay against the amount of excitation retained. Numerical results confirm both properties.