Identification of linear stochastic systems based on partial information. (1995)

• Record Type: Journal Article
• Authors: Ahmed, N. U.; Radaideh, S. M.
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 8:Number 3(1995)
• Page Start: 249
• Page End: 260
• Publication Date: 1995
• Subjects: identification -- stochastic systems -- partial information -- simulated annealing; Mathematical models -- Periodicals; Computer simulation -- Periodicals; Computer science -- Mathematics -- Periodicals; Computer science -- Mathematics; Computer simulation; Mathematical models; Applied Mathematics; Periodicals; Electronic journals; 519.22
• DOI: 10.1155/S1048953395000220
• Languages: English
• ISSNs: 1048-9533

Abstract

Abstract : In this paper, we consider an identification problem for a system of partially observed linear stochastic differential equations. We present a result whereby one can determine all the system parameters including the covariance matrices of the noise processes. We formulate the original identification problem as a deterministic control problem and prove the equivalence of the two problems. The method of simulated annealing is used to develop a computational algorithm for identifying the unknown parameters from the available observation. The procedure is then illustrated by some examples.