Regular Papers
International Journal of Control, Automation, and Systems 2024; 22(10): 3008-3014
https://doi.org/10.1007/s12555-024-0446-7
© The International Journal of Control, Automation, and Systems
Minimum Variance Prediction of MIMO Linear Time-Varying Systems
In this paper we study the problem of minimum variance prediction of linear time-varying systems and develop a minimum variance predictor for a standard multi-input multi-output time-varying ARMA model. It is shown that the linear time-varying predictor allows time-varying degrees in the ARMA model and minimizes the output prediction error variance under colored noise and rapidly time-varying plant parameters. Assumptions made on the linear time-varying systems are natural extensions of those made on linear time-invariant plants by the standard linear time-invariant minimum variance predictor.
Keywords Adaptive prediction, minimum variance, stochastic systems, time-varying systems.
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Regular Papers
International Journal of Control, Automation, and Systems 2024; 22(10): 3008-3014
Published online October 1, 2024 https://doi.org/10.1007/s12555-024-0446-7
Copyright © The International Journal of Control, Automation, and Systems.
Minimum Variance Prediction of MIMO Linear Time-Varying Systems
Zheng Li
University of Wollongong
Abstract
In this paper we study the problem of minimum variance prediction of linear time-varying systems and develop a minimum variance predictor for a standard multi-input multi-output time-varying ARMA model. It is shown that the linear time-varying predictor allows time-varying degrees in the ARMA model and minimizes the output prediction error variance under colored noise and rapidly time-varying plant parameters. Assumptions made on the linear time-varying systems are natural extensions of those made on linear time-invariant plants by the standard linear time-invariant minimum variance predictor.
Keywords: Adaptive prediction, minimum variance, stochastic systems, time-varying systems.
Vol. 22, No. 10, pp. 2955~3252
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