Parameter estimation in stochastic grey-box models.

DOI10.1016/j.automatica.2003.10.001zbMath1048.93088WikidataQ60398447 ScholiaQ60398447MaRDI QIDQ1428692

Henrik Madsen, Niels Rode Kristensen, Sten Bay Jørgensen

Publication date: 29 March 2004

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2003.10.001

zbMATH Keywords

Maximum likelihood estimation; Parameter estimation; Extended Kalman filter; Stochastic differential equations; Software tools; Robust estimation; Estimation accuracy; Estimation with missing observations; Grey-box models

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E10: Estimation and detection in stochastic control theory

Related Items

Nonlinear gray-box identification using local models applied to industrial robots, System identification of nonlinear state-space models, Input estimation in nonlinear dynamical systems using differential algebra techniques, Optimal smoothing of nonlinear dynamic systems via Monte Carlo Markov chains

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Continuous-time approaches to system identification - a survey
• On covariance function tests used in system identification
• Theory and applications of adaptive control - a survey
• Parameter estimation for continuous-time models - a survey
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Applying the EKF to stochastic differential equations with level effects
• Stochastic processes and filtering theory
• Computing integrals involving the matrix exponential
• Nineteen Dubious Ways to Compute the Exponential of a Matrix
• Robust Statistics