Identification of linear stochastic systems based on partial information

DOI10.1155/S1048953395000220MaRDI QIDQ1897834zbMATH OpenFDO

Authors Yanyan Li

Publication date 10 September 1995

Published in Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/47351

zbMATH Keywords

identificationlinear stochastic systemoptimal controlsimulated annealing algorithm

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Control/observation systems with incomplete information (93C41) Identification in stochastic control theory (93E12)

Review text

The problem of identification of the matrices \(A\), \(\sigma\), \(H\), \(\sigma_0\) of a vector valued linear stochastic system \(dX(t)= AX(t) dt+ \sigma dW(t)\), \(X(0)= X_0\), \(dy(t)= HX(t) dt+ \sigma_0 dW_0\), \(y(0)= 0\) is formulated by a deterministic optimal control problem, where \(X\) is the state process and \(y\) describes the covariances of \(X_0\). The standard assumptions are fulfilled. A simulated annealing algorithm of the parameter estimation is constructed.

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(7)

• Identifiability of linear parametric stochastic systems. I. Identifiability equations
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