Off-line parameter identification of stochastic systems

Abstract

The main objective of the present paper is to extend some previously reported results (Kudva-Narandra 1974) to a class of stochastic system. The parameter identification scheme suggested in this paper requires two different measurements associated with an open-loop and a closed-loop systems. The stability of the closed-loop system along with the knowledge on the order of system are assumed. The stochastic version of Lyapunov's second method, along with a modified Meyer-Kalman-Yakubovich (M.K.Y.) lemma is used in deriving the stability properties of the parameter identification scheme.