A multiple projection approach for constrained system identification

This paper deals with the constrained system identification problem of linear discrete time dynamical systems. It is assumed that the parameters of the system are constrained due to physical limitations. Using a multiple projection approach, a minimum variance estimator and its associated recursive version are developed to estimate the constrained parameters of the system. The most important feature of the developed technique is that it gives estimates of the system parameters once the first set of measurements is received. Therefore, there is no need to wait till sufficient number of measurements are collected to start the algorithm. The simulation results of illustrative examples are presented to show the effectiveness of the proposed estimation scheme.

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