Optimizing search-based identification of stochastic time-delay systems

A frequently used identification method of time-delay systems, namely the method of direct least-squares (LS) estimation with step-by-step search, is significantly improved in some aspects. First, a discussion is made on how to design a proper digital filter in order to derive a unimodal criterion function with respect to the time delay. It is then suggested that the golden section algorithm can be implemented to search the time delay optimizingly, while the system parameters are simultaneously estimated by use of the standard LS method. The presented optimizing search-based identification algorithm exhibits superior performance to the step-by-step search-based method, in that it is more widely applicable and less computational demanding. Illustrative examples are also included.