The Stochastic Dynamic System

Autor:	Tsu T. Soong, Peter A. Ruymgaart
Rok vydání:	1988
Předmět:	Stochastic control Dynamic simulation Continuous-time stochastic process Control theory Stochastic process Computer science State vector Stochastic optimization Filter (signal processing) Brownian motion
Zdroj:	Mathematics of Kalman-Bucy Filtering ISBN: 9783540187813 Mathematics of Kalman-Bucy Filtering ISBN: 9783642968440
DOI:	10.1007/978-3-642-73341-3_3
Popis:	In the design and analysis of a physical dynamic system, filtering refers to the estimation of the system state on the basis of system measurements contaminated by random noise. The Kalman-Bucy filter, being an algorithm for computing estimates of the state vector, deals with a stochastic dynamic system driven by forces whose random components are modeled by Brownian motion. In this chapter we are concerned with this system. Since only a sample of the stochastic processes is realized at the end of each physical experiment modeled by the dynamic system, the use of sample calculus is appropriate in the mathematical model.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0e54dbfc1097b919b7e5714dc4770d79 https://doi.org/10.1007/978-3-642-73341-3_3 Zobrazit plný text záznamu