A maximum likelihood approach to recursive polynomial chaos parameter estimation

Benjamin L. Pence, Hosam K. Fathy, Jeffrey L. Stein

Research output: Chapter in Book/Report/Conference proceedingConference contribution

21 Scopus citations

Abstract

This paper presents a method for recursively estimating the static parameters of linear or nonlinear stochastic dynamic systems given the systems' inputs and outputs. The paper accomplishes this objective by combining polynomial chaos theory with maximum likelihood estimation. The parameter estimates are calculated in a recursive or iterative manner. To the best of the author's knowledge, this is the first paper to address recursive maximum likelihood parameter estimation using polynomial chaos theory. The proposed approach is demonstrated on two systems: a linear 2nd order system with unknown damping and natural frequency, and a nonlinear Van der Pol oscillator with an unknown nonlinear damping coefficient. Because this recursive estimator is applicable to nonlinear systems, the authors portend that this novel formulation will be useful for a broad range of estimation problems.

Original languageEnglish (US)
Title of host publicationProceedings of the 2010 American Control Conference, ACC 2010
Pages2144-2151
Number of pages8
StatePublished - Oct 15 2010
Event2010 American Control Conference, ACC 2010 - Baltimore, MD, United States
Duration: Jun 30 2010Jul 2 2010

Publication series

NameProceedings of the 2010 American Control Conference, ACC 2010

Other

Other2010 American Control Conference, ACC 2010
CountryUnited States
CityBaltimore, MD
Period6/30/107/2/10

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All Science Journal Classification (ASJC) codes

  • Control and Systems Engineering

Cite this

Pence, B. L., Fathy, H. K., & Stein, J. L. (2010). A maximum likelihood approach to recursive polynomial chaos parameter estimation. In Proceedings of the 2010 American Control Conference, ACC 2010 (pp. 2144-2151). [5531345] (Proceedings of the 2010 American Control Conference, ACC 2010).