Issues in sampling and estimating continuous-time models with stochastic disturbances |
| |
Authors: | Lennart Ljung [Author Vitae] Adrian Wills [Author Vitae] |
| |
Affiliation: | a Division of Automatic Control, Linköpings Universitet, SE-581 80 Linköping, Sweden b School of Electrical Engineering and Computer Science, University of Newcastle, Callaghan, NSW, 2308, Australia |
| |
Abstract: | The standard continuous time state space model with stochastic disturbances contains the mathematical abstraction of continuous time white noise. To work with well defined, discrete time observations, it is necessary to sample the model with care. The basic issues are well known, and have been discussed in the literature. However, the consequences have not quite penetrated the practice of estimation and identification. One example is that the standard model of an observation, being a snapshot of the current state plus noise independent of the state, cannot be reconciled with this picture. Another is that estimation and identification of time continuous models require a more careful treatment of the sampling formulas. We discuss and illustrate these issues in the current contribution. An application of particular practical importance is the estimation of models based on irregularly sampled observations. |
| |
Keywords: | System identification Continuous-time Sampling State-space models |
本文献已被 ScienceDirect 等数据库收录! |
|