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In this paper the nonlinear stochastic control problem will be treated as a linear adaptive control problem with time-varying unknown parameters. The algorithm used to design the controller will be the partitioned adaptive control of Lainiotis. A special form of the partitioned adaptive filter will be applied to this problem. This filter was found to be very effective in dealing with adaptive systems...
In this paper a partitioned adaptive estimation for time-varying unknown parameters is derived from Lainiotis' partitioned adaptive filter. This filter, the Per-Sample Initialized Partitioned Adaptive Estimator (PSIPAE) will be applied to the forecasting of economic time-series.
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