Now showing items 1-10 of 13
Frequency-domain criteria for stability of a class of nonlinear stochastic systems
The problem of finding frequency-domain conditions that are sufficient to ensure asymptotic stability with probability one (ASWP 1) of a Lure-type system with white-noise input disturbance is considered. It is shown that, ...
On minimizing the divergence in discrete filters
The problem of divergence that often arises when the filter mechanization is based on lower order process dynamics is examined. This situation may be caused, for example, by the impossibility of completely identifying some ...
Optimal smoothing for continuous-time systems with multiple time delays
Equations for the smoothed state estimate and for the error covariances of a continuous-time system with multiple time delays, based on observations involving time delays, are derived through a combination of discretization, ...
Optimal fixed lag smoothing for time delayed system with colored noise
The aim of this note is to report an algorithm for the fixed lag smoothing problem of a time delayed system whose observations contain colored noise. This is derived by looking at the appropriate components of a filtering ...
On the computational aspects of two recent smoothing algorithms
This note is concerned with a consideration of the computational requirements of fixed-lag and fixed-point smoothing algorithms reported recently by the authors.
On the stability of a fixed lag smoother
The aim of this correspondence is to show that the fixed lag smoothing algorithm reported earlier by the authors is asymptotically stable and is computationally better than the other stable smoothers reported recently.
Finite lag receivers for analog communication
The problem of designing optimum receivers with a finite built-in delay, for a class of stochastic signals, is considered. The approach used here is based on the so-called fixed-lag smoothing techniques. Specific cases of ...
Continuous time smoothing for systems with interrupted observations
General continuous time smoothing results for state estimation with interrupted observations are derived. The interruption mechanism is characterized by a jump Markov process taking values 0 or 1. The approach followed for ...
Two-stage identification of closed-loop systems
A two-stage identification method based on modeling error compensation for systems operating in closed loop is presented. The feedback regulator is assumed linear, time-invariant. The model structure and the identification ...
On optimal stationary control of systems with state dependent noise
This note proposes a simplified existence criterion for the linear quadratic optimal control law for systems with state dependent noise.