The Application of Robust Estimation to Active Parametric Identification of Stochastic Linear Discrete Systems

On the basis of Izanloo-Fakoorian-Yazdi-Simon filter we proposed a robust procedure for the active parametric identification of stochastic linear discrete systems, including robust estimation of parameters and optimal design of input signal. We considered the general case of the entry of unknown parameters into the equations of state and observation, the initial condition and the covariance noise matrices of the system and measurements. Using the developed software, the efficiency of this procedure is demonstrated by the example of a DC motor control system for the grouped location of outliers.