Realization of bilinear stochastic systems |
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Authors: | Desai U. |
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Affiliation: | Washington State University, Pullman, WA, USA; |
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Abstract: | This note considers the problem of realization of bilinear stochastic systems (BLSR). First an explicit statement for the BLSR problem is presented. Next a realization algorithm is developed. In this algorithm the state vector is picked as a basis in the subspace obtained by projecting an appropriately defined past vector onto an appropriately defined future vector. Also, the realization algorithm involves solving a matrix nonlinear equation which is akin to the algebraic Riccati equation, except for one additional term. |
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