System identification via simultaneous perturbation stochastic approximation

The simultaneous perturbation stochastic approximation (SPSA) is an extension of Kiefer-Wolfowitz stochastic approximation (KWSA) algorithm. In SPSA, since all parameters are perturbed simultaneously, it is possible to modify the parameters with only two measurements of the evaluation function disregard of the dimension of the parameters. We propose a parameter identification algorithm using SPSA. Simulation result shows the feasibility of the identification approach proposed.