| Autor: |
Andrey Tsyganov, Yulia Tsyganova |
| Jazyk: |
angličtina |
| Rok vydání: |
2023 |
| Předmět: |
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| Zdroj: |
Mathematics, Vol 11, Iss 20, p 4292 (2023) |
| Druh dokumentu: |
article |
| ISSN: |
2227-7390 |
| DOI: |
10.3390/math11204292 |
| Popis: |
The paper addresses a parameter identification problem for discrete-time stochastic systems models with multiplicative and additive noises. Stochastic systems with additive and multiplicative noises are considered when solving many practical problems related to the processing of measurements information. The purpose of this work is to develop a numerically stable gradient-free instrumental method for solving the parameter identification problems for a class of mathematical models described by discrete-time linear stochastic systems with multiplicative and additive noises on the basis of metaheuristic optimization and singular value decomposition. We construct an identification criterion in the form of the negative log-likelihood function based on the values calculated by the newly proposed SVD-based Kalman-type filtering algorithm, taking into account the multiplicative noises in the equations of the state and measurements. Metaheuristic optimization algorithms such as the GA (genetic algorithm) and SA (simulated annealing) are used to minimize the identification criterion. Numerical experiments confirm the validity of the proposed method and its numerical stability compared with the usage of the conventional Kalman-type filtering algorithm. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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