ON STOCHASTIC LYAPUNOV FUNCTION METHOD IN OPTIMAL LINEAR FILTERING PROBLEM

1992 ◽  
pp. 231-235
Author(s):  
H.S. Hoang ◽  
O. Talagrand
Keyword(s):  
Lyapunov Function ◽  
Function Method ◽  
Linear Filtering ◽  
Lyapunov Function Method ◽  
Optimal Linear ◽  
Filtering Problem ◽  
Optimal Linear Filtering ◽  
Stochastic Lyapunov Function

scholarly journals Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals

2001 ◽  
Vol 14 (3) ◽  
pp. 215-226 ◽  
Author(s):  
M. L. Kleptsyna ◽  
A. Le Breton
Keyword(s):  
Gaussian Processes ◽  
Laplace Transforms ◽  
Quadratic Functional ◽  
Linear Filtering ◽  
Volterra Type ◽  
Conditional Mean ◽  
Optimal Linear ◽  
Filtering Problem ◽  
Optimal Linear Filtering ◽  
Optimal Filtering Problem

The optimal filtering problem for multidimensional continuous possibly non-Markovian, Gaussian processes, observed through a linear channel driven by a Brownian motion, is revisited. Explicit Volterra type filtering equations involving the covariance function of the filtered process are derived both for the conditional mean and for the covariance of the filtering error. The solution of the filtering problem is applied to obtain a Cameron-Martin type formula for Laplace transforms of a quadratic functional of the process. Particular cases for which the results can be further elaborated are investigated.

scholarly journals Robust Filtering of Sequences with Periodically Stationary Multiplicative Seasonal Increments

2021 ◽  
Vol 9 (4) ◽  
pp. 1010-1030
Author(s):  
Maksym Luz ◽  
Mikhail Moklyachuk
Keyword(s):  
Spectral Characteristics ◽  
Linear Filtering ◽  
Linear Functionals ◽  
Spectral Densities ◽  
Optimal Linear ◽  
The Mean ◽  
Noise Sequence ◽  
Mean Square Errors ◽  
Filtering Problem ◽  
Optimal Linear Filtering

We consider stochastic sequences with periodically stationary generalized multiple increments of fractional order which combines cyclostationary, multi-seasonal, integrated and fractionally integrated patterns. We solve the filtering problem for linear functionals constructed from unobserved values of a stochastic sequence of this type based on observations of the sequence with a periodically stationary noise sequence. For sequences with known matrices of spectral densities, we obtain formulas for calculating values of the mean square errors and the spectral characteristics of the optimal filtering of the functionals. Formulas that determine the least favourable spectral densities and the minimax (robust) spectral characteristics of the optimal linear filtering of the functionals are proposed in the case where spectral densities of the sequence are not exactly known while some sets of admissible spectral densities are given.

scholarly journals Pinning Synchronization of Switched Complex Dynamical Networks

2015 ◽  
Vol 2015 ◽  
pp. 1-8
Author(s):  
Liming Du ◽  
Feng Qiao ◽  
Fengying Wang
Keyword(s):  
Lyapunov Function ◽  
Complex Networks ◽  
Function Method ◽  
Complex Dynamical Networks ◽  
Switching Topology ◽  
Dynamical Networks ◽  
Switching Law ◽  
Arbitrary Switching ◽  
Lyapunov Function Method ◽  
Networks With Switching Topology

Network topology and node dynamics play a key role in forming synchronization of complex networks. Unfortunately there is no effective synchronization criterion for pinning synchronization of complex dynamical networks with switching topology. In this paper, pinning synchronization of complex dynamical networks with switching topology is studied. Two basic problems are considered: one is pinning synchronization of switched complex networks under arbitrary switching; the other is pinning synchronization of switched complex networks by design of switching when synchronization cannot achieved by using any individual connection topology alone. For the two problems, common Lyapunov function method and single Lyapunov function method are used respectively, some global synchronization criteria are proposed and the designed switching law is given. Finally, simulation results verify the validity of the results.

scholarly journals Independent of delay stabilization using implicit Lyapunov function method

Automatica ◽  
2019 ◽  
Vol 101 ◽  
pp. 103-110
Author(s):  
Konstantin Zimenko ◽  
Denis Efimov ◽  
Andrey Polyakov ◽  
Artem Kremlev
Keyword(s):  
Lyapunov Function ◽  
Function Method ◽  
Lyapunov Function Method
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