Identification of linear time-varying systems using a modified least-squares algorithm

In this paper a modi"ed version of the standard least-squares algorithm is presented. The aim is to use the proposed modi"ed LS algorithm in linear time-varying systems. The proposed modi"cation involves the addition of extra terms to both the parameter estimates' and the covariance's update laws. We establish a series of properties on the identi"cation error, the parameter estimates and the covariance matrix. These properties are important in an adaptive control context, because LS algorithms provide an easy way of modifying the parameter estimates in order to avoid singular points in the control scheme. ( 2000 Elsevier Science Ltd. All rights reserved.