N. U. Ahmed, S. M. Radaideh, "Identification of linear stochastic systems based on partial information", International Journal of Stochastic Analysis, vol. 8, Article ID 794618, 12 pages, 1995. https://doi.org/10.1155/S1048953395000220
Identification of linear stochastic systems based on partial information
In this paper, we consider an identification problem for a system of partially observed linear stochastic differential equations. We present a result whereby one can determine all the system parameters including the covariance matrices of the noise processes. We formulate the original identification problem as a deterministic control problem and prove the equivalence of the two problems. The method of simulated annealing is used to develop a computational algorithm for identifying the unknown parameters from the available observation. The procedure is then illustrated by some examples.
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