Convergence analysis of a real-time identification algorithm for switched linear systems with bounded noise

We consider the problem of a real-time identification of switched linear systems in the presence of bounded noise. This is a challenging problem that involves the association of each data to the most suitable sub-system and the estimation of the parameters of all sub-systems. The proposed algorithm is based on an Outer Bounding Ellipsoid (OBE) type algorithm appropriate for real-time system identification with bounded noise. An analysis of convergence and stability is provided.

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