Markov Method for Parameter Identification of Dynamic Process Model Based on Discrete Wavelet Transform

Based on fact that the covariance matrix R^ ew of the wavelet transform of process noise and its Cholesky factors L^ ew are specially spasse and band like, the new Markov recursive algorithm can estimate them on line by using the discrete wavelet transform of the model output error and them whiten the input output data. Simulator results have verified the proposed algorithm.