Online identification of time-delay jump Markov autoregressive exogenous systems with recursive expectation-maximization algorithm

摘要

This article considers the identification problem of the jump Markov autoregressive exogenous (JMARX) systems with unknown invariant time-delay under the framework of recursive expectation-maximization (REM) algorithm. In this article, a recursive Q-function is formulated for the JMARX systems, based on which the recursive sufficient statistics are obtained. Then, the parameter vectors, variance, transition probability matrix, and time-delay are recursively estimated. A numerical example and a simulated continuous fermentation reactor process are employed to illustrate the effectiveness of the proposed algorithm.