Time-varying Forgetting Factor Stochastic Gradient Algorithm for Nonlinear Systems with Color Noise

This paper considers the identification of nonlinear systems with color noise, and introduces a new time-varying forgetting factor based stochastic gradient (TVFF-SG) algorithm to estimate the system parameters. The basic idea of the time-varying forgetting factor is that when the algorithm starts, we give the forgetting factor a relative smaller value, which will speed up the convergence. In addition, the forgetting factor will increase slowly as time goes on so that the convergence procedure of the model will be more stable. Simulation results are presented to demonstrate the effectiveness of the proposed algorithm.