ORTHOGONAL LEAST-SQUARES METHODS AND THEIR APPLICATION TO NON-LINEAR SYSTEM-IDENTIFICATION

Identification algorithms based on the well-known linear least squares methods of gaussian elimination, Cholesky decomposition, classical Gram-Schmidt, modified Gram-Schmidt, Householder transformation, Givens method, and singular value decomposition are reviewed. The classical Gram-Schmidt, modified Gram-Schmidt, and Householder transformation algorithms are then extended to combine structure determination, or which terms to include in the model, and parameter estimation in a very simple and efficient manner for a class of multivariable discrete-time non-linear stochastic systems which are linear in the parameters.