Identification by the Least-Squares Method

Abstract

In this chapter we will study the least-squares method. The least-squares principle was invented by Karl Gauss at the end of the eighteenth century for determining the orbits of planets. Since then this method has become a major tool for parameter estimation using experimental data. Most existing parametric identification methods can be related to the least-squares method. The method is easy to comprehend and, due to the existence of a closed solution, it is also easy to implement. The least-squares method is also called linear regression (in statistical literature) and equation error method (in identification literature).