scholarly journals Simultaneous Identification of Unknown System Matrix and Exogenous Input of Linear Stochastic Systems via Pseudomeasurement Approach

2012 ◽  
Vol 2012 (0) ◽  
pp. 49-56
Author(s):  
KENTARO KAMEYAMA ◽  
AKIRA OHSUMI
Keyword(s):  
Stochastic Systems ◽  
System Matrix ◽  
Linear Stochastic Systems ◽  
Unknown System ◽  
Simultaneous Identification

A Fast Convergence Parameter for Monte Carlo–Neumann Solution of Linear Stochastic Systems

2015 ◽  
Vol 1 (2) ◽  
Author(s):  
Cláudio R. Ávila da Silva ◽  
André Teófilo Beck
Keyword(s):  
Monte Carlo ◽  
Stochastic Systems ◽  
Uncertainty Propagation ◽  
Neumann Series ◽  
Fast Convergence ◽  
System Matrix ◽  
Convergence Parameter ◽  
Linear Stochastic Systems ◽  
Beam Bending ◽  
Distance Minimization

The Neumann series is a well-known technique to aid the solution of uncertainty propagation problems. However, convergence of the Neumann series can be very slow, often making its use highly inefficient. In this article, a fast convergence parameter (λ) convergence parameter is introduced, which yields accurate and efficient Monte Carlo–Neumann (MC-N) solutions of linear stochastic systems using first-order Neumann expansions. The λ convergence parameter is found as a solution to the distance minimization problem, for an approximation of the inverse of the system matrix using the Neumann series. The method presented herein is called Monte Carlo–Neumann with λ convergence, or simply the MC-N λ method. The accuracy and efficiency of the MC-N λ method are demonstrated in application to stochastic beam-bending problems.

The stochastic observability for noisy non-linear stochastic systems†

1975 ◽  
Vol 22 (4) ◽  
pp. 461-480 ◽  
Author(s):  
YOSHIFUMI SUNAHARA ◽  
SHIN'ICHl AIHARA ◽  
MASAYUKI SHIRAIWA
Keyword(s):  
Stochastic Systems ◽  
Linear Stochastic Systems ◽  
Non Linear

scholarly journals Distributed Fusion Receding Horizon Filtering in Linear Stochastic Systems

2009 ◽  
Vol 2009 (1) ◽  
Author(s):  
IlYoung Song ◽  
DuYong Kim ◽  
YongHoon Kim ◽  
SukJae Lee ◽  
Vladimir Shin
Keyword(s):  
Stochastic Systems ◽  
Receding Horizon ◽  
Linear Stochastic Systems ◽  
Distributed Fusion
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