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Issues in Sampling and Estimating Continuous-Time Models with Stochastic Disturbances
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
University of Newcastle, Australia.
2010 (English)Report (Other academic)
Abstract [en]

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.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2010. , 10 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2988
Keyword [en]
System identification, Continuous-time, Sampling, State-space models
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-97742ISRN: LiTH-ISY-R-2988OAI: diva2:650667
Swedish Research Council
Available from: 2013-09-23 Created: 2013-09-23 Last updated: 2014-09-01Bibliographically approved

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Ljung, Lennart
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ReferencesLink to record
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