Discretizing stochastic dynamical systems using Lyapunov equations
2014 (English)In: Proceedings of the 19th World Congress of the International Federation of Automatic Control / [ed] Edward Boje and Xiaohua Xia, International Federation of Automatic Control , 2014, 3726-3731 p.Conference paper (Refereed)
Stochastic dynamical systems are fundamental in state estimation, systemidentification and control. System models are often provided incontinuous time, while a major part of the applied theory is developedfor discrete-time systems. Discretization of continuous-time models ishence fundamental. We present a novel algorithm using a combination of Lyapunov equations and analytical solutions, enabling efficient implementation in software. The proposed method circumvents numerical problems exhibited by standard algorithms in the literature. Both theoretical and simulation results are provided.
Place, publisher, year, edition, pages
International Federation of Automatic Control , 2014. 3726-3731 p.
, World Congress, ISSN 1474-6670 ; Volume 19, Part 1
Optimal sampling, Lyapunov equations, matrix exponential, white noise
IdentifiersURN: urn:nbn:se:liu:diva-111650DOI: 10.3182/20140824-6-ZA-1003.02157ISBN: 978-3-902823-62-5OAI: oai:DiVA.org:liu-111650DiVA: diva2:758634
19th World Congress of the International Federation of Automatic Control (IFAC 2014), 24-29 August 2014, Cape Town, South Africa
FunderSwedish Foundation for Strategic Research