Recursive identification with regularization and on-line hyperparameters estimation
arXiv:2401.00097
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.
https://hal.science/hal-04337419