L. Giarr´e 2017-2018
Systems and Control Theory Lecture Notes
Laura Giarr´ e
Ese2: LS, RLS and LMS
Estimate the parameters of an ARMA model
Given a system such that A(d)y(t) = B(d)u(t) + e(t)
with A(d) = 1 − 0.3d and B(d) = 0.7d
Simulate the system with e a gaussian noise with std 0.001
u a square wave with a superimposed uniform noise of std 0.1 and period 40.
Identify the parameters with a LS algorithm, a RLS algorithm and a LMS algorithm.
L. Giarr´e- Systems and Control Theory 2017-2018 - 2
