How to Deal with Parameter Estimation in Continuous-Time Stochastic Systems

2021 ◽  
Author(s):  
Jesica Escobar ◽  
Ana Gabriela Gallardo-Hernandez ◽  
Marcos Angel Gonzalez-Olvera
Keyword(s):  
Parameter Estimation ◽  
Continuous Time ◽  
Stochastic Systems

scholarly journals Asymptotic Parameter Estimation for a Class of Linear Stochastic Systems Using Kalman-Bucy Filtering

2012 ◽  
Vol 2012 ◽  
pp. 1-15 ◽  
Author(s):  
Xiu Kan ◽  
Huisheng Shu ◽  
Yan Che
Keyword(s):  
Parameter Estimation ◽  
Continuous Time ◽  
Unknown Parameter ◽  
Stochastic Systems ◽  
Sufficient Conditions ◽  
Asymptotic Convergence ◽  
Linear Filtering ◽  
Linear Stochastic Systems ◽  
Asymptotic Parameter ◽  
Consistent Property

The asymptotic parameter estimation is investigated for a class of linear stochastic systems with unknown parameterθ:dXt=(θα(t)+β(t)Xt)dt+σ(t)dWt. Continuous-time Kalman-Bucy linear filtering theory is first used to estimate the unknown parameterθbased on Bayesian analysis. Then, some sufficient conditions on coefficients are given to analyze the asymptotic convergence of the estimator. Finally, the strong consistent property of the estimator is discussed by comparison theorem.

Direct and indirect least squares methods in continuous-time parameter estimation

Automatica ◽  
1987 ◽  
Vol 23 (6) ◽  
pp. 707-718 ◽  
Author(s):  
S. Vajda ◽  
P. Valkó ◽  
K.R. Godfrey
Keyword(s):  
Parameter Estimation ◽  
Least Squares ◽  
Continuous Time ◽  
Time Parameter

Open-loop optimal control of a class of continuous-time stochastic systems—A simulation study†

1974 ◽  
Vol 19 (6) ◽  
pp. 1165-1175 ◽  
Author(s):  
EDGAR C. TACKER ◽  
THOMAS D. LINTON ◽  
CHARLES W. SANDERS
Keyword(s):  
Optimal Control ◽  
Simulation Study ◽  
Continuous Time ◽  
Stochastic Systems ◽  
Open Loop
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