Identification of linear stochastic systems based on partial information
type: Item
instance of: scholarly article
title: Identification of linear stochastic systems based on partial information
zbMATH Open document ID: 0831.93063
DOI: 10.1155/S1048953395000220
author: Yanyan Li
published in: Journal of Applied Mathematics and Stochastic Analysis
publication date: 1995-09-10T00:00:00Z
full work available at URL: https://eudml.org/doc/47351
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.
Mathematics Subject Classification ID: 93E12
Mathematics Subject Classification ID: 93C41
Mathematics Subject Classification ID: 93C05
zbMATH DE Number: 794428
zbMATH Keywords: identification
zbMATH Keywords: linear stochastic system
zbMATH Keywords: optimal control
zbMATH Keywords: simulated annealing algorithm
reviewed by: Wilfried Grecksch
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 794428