Parameter identification of the linear discrete-time stochastic systems with unknown exogenous inputs

The paper addresses a parameter identification problem for linear discrete-time stochastic systems with unknown exogenous inputs. Such systems are considered when solving practical problems related to the measurements processing in the case when it is impossible to do any assumptions about the evolution of unknown input signal or its statistical characteristics that can change over time. We consider a class of discrete time linear stochastic systems with unknown exogenous inputs, where an additional source of a priori uncertainty of the system model is introduced, namely, the unknown parameter, on the elements of which the system model matrices can depend. This formulation of the parameter identification problem under the conditions of unknown inputs and the presence of random noises describes a high degree of uncertainty of a discrete time linear stochastic system. We propose a novel solution to this problem based on the construction of a new instrumental identification criterion. Minimization of this criterion allows for evaluating the unknown system model parameters simultaneously with the estimating of the state vector and unknown exogenous inputs of the system. Numerical experiments confirm the validity and efficiency of the proposed parameter identification method.