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In this paper, weighted stochastic gradient (WSG) algorithms for ARX models are proposed by modifying the standard stochastic gradient identification algorithms. In the proposed algorithms, the correction term is a weighting combination of the correction terms of the standard stochastic gradient (SG) algorithm in the current and last recursive steps. In addition, a latest estimation based WSG (LE‐WSG)...
A modified recursive stochastic gradient identification algorithm is presented for ARX models. In the presented algorithm, the hierarchical identification principle is first used, and then the unknown true parameters are replaced by their latest estimation. The convergence analysis of the proposed algorithm is given. In addition, a simulation example is employed to show the advantage of the proposed...
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