Issues in sampling and estimating continuous-time models with stochastic disturbances

DOI10.1016/j.automatica.2010.02.011zbMath1191.93137OpenAlexW2082060781WikidataQ59591853 ScholiaQ59591853MaRDI QIDQ980930

Lennart Ljung, Adrian G. Wills

Publication date: 8 July 2010

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-56062

zbMATH Keywords

samplingsystem identificationstate-space modelscontinuous-time

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (5)

A new smoothing algorithm for jump Markov linear systems ⋮ Frequency domain identification of continuous-time output-error models with time-delay from relay feedback tests ⋮ The role of parameter constraints in EE and OE methods for optimal identification of continuous LTI models ⋮ EM-based identification of continuous-time ARMA models from irregularly sampled data ⋮ Direct continuous-time approaches to system identification. Overview and benefits for practical applications

Uses Software

• System Identification Toolbox
• CONTSID

Cites Work

• Unnamed Item
• On parameter and state estimation for linear differential--algebraic equations
• Maximum likelihood and prediction error methods
• Parameter estimation for continuous-time models - a survey
• Sampling in digital signal processing and control
• Stochastic processes and filtering theory
• Stochastic theory of continuous-time state-space identification
• Discrete-time filtering of noise correlated continuous-time processes: modeling and derivation of the sampling period sensitivities
• The optimal projection equations for fixed-order, sampled-data dynamic compensation with computation delay
• Computing integrals involving the matrix exponential
• Continuous-time model identification from sampled data: Implementation issues and performance evaluation
• Duality of hybrid optimal regulator and hybrid optimal filter

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