Identification of linear stochastic systems based on partial information (Q1897834)
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scientific article; zbMATH DE number 794428
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| English | Identification of linear stochastic systems based on partial information |
scientific article; zbMATH DE number 794428 |
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Identification of linear stochastic systems based on partial information (English)
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10 September 1995
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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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identification
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linear stochastic system
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optimal control
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simulated annealing algorithm
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0.9296398
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0.92431164
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0.9114257
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0.9095548
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