Stochastic Gradient Estimation Algorithm for a class of Dual-Rate Stochastic Systems

In this paper studies modeling and identification problems for multirate systems with colored noises, to solve the difficulty of identification models, a new extended stochastic gradient recursive algorithm for estimating parameters of dual-rate sampled-data systems with colored measurement noises is presented. The basic idea is to use an auxiliary model to estimate the unknown output of system, and directly to identify the parameters of the underlying fast single-rate model from the dual-rate input-output data. It is shown than the parameter estimates converge to their true values for stationary, the result is illustrated and tested by using simulation.