Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第39回ISCIE「確率システム理論と応用」国際シンポジウム(2007年11月, 佐賀)
Identification of Unknown Exogenous Input of Stochastic Linear Systems via Pseudomeasurement Approach
AKIRA OHSUMITAKURO KIMURAMICHIO KONO
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ジャーナル フリー

2008 年 2008 巻 p. 1-7

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抄録
A joint method is proposed for estimating the systems state and identifying the unknown (stepwise) exogenous input to the stochastic dynamical systems by introducing the idea of pseudomeasurement. Both state estimation and parameter identification are processed by the Kalman filter, incorporating the pseudomeasurements. An application of the method to the change detection is also discussed briefly. The proposed method is tested through simulation studies.
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© 2008 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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