Parameter Identification of the Discrete-Time Stochastic Systems with Multiplicative and Additive Noises Using the UD-Based State Sensitivity Evaluation

The paper proposes a new method for solving the parameter identification problem for a class of discrete-time linear stochastic systems with multiplicative and additive noises using a numerical gradient-based optimization. The constructed method is based on the application of a covariance UD filter for the above systems and an original method for evaluating state sensitivities within the numerically stable, matrix-orthogonal MWGS transformation. In addition to the numerical stability of the proposed algorithm to machine roundoff errors due to the application of the MWGS-UD orthogonalization procedure at each step, the main advantage of the obtained results is the possibility of analytical calculation of derivatives at a given value of the identified parameter without the need to use finite-difference methods. Numerical experiments demonstrate how the obtained results can be applied to solve the parameter identification problem for the considered stochastic system model.