USING THE THEORY OF MARTINGALES TO PROVE THE SOUNDNESS OF THE ESTIMATES OF THE PARAMETERS OF LINEAR DYNAMIC SYSTEMS
Journal Title: Електроніка та системи управління - Year 2018, Vol 1, Issue 55
Abstract
The article is devoted to analytical methods of research of filtration algorithms in conditions of a priori uncertainty of information on statistical characteristics of state noise and measurement in linear dynamic systems. For simple objects it is possible to apply simple evaluation algorithms. In this case, the estimate of the matrix of the dynamics coincides with probability 1 to the true value, and the Kalman filter constructed on such an algorithm gives an estimate which also coincides with the probability of 1 to the estimation of the true Kalman filter. To prove the validity of the estimates, the theory of martingales was applied. Martingales and semimartingales form an important class of processes, which generalizes a class of processes with independent increments. There is a special method for the study of random processes. But in practice, the condition that all components of the matrix of the dynamics are those that can be observed gives the limit to the use of this method. The proposed technique will allow to extend the method of obtaining estimates of the parameters of linear dynamic systems in the case of an arbitrary dynamics matrix.
Authors and Affiliations
Viktoria. Sushchuk-Slyusarenko, Nataliya Rybachok, Lіubov Oleshchenko
Keywords
Related Articles
- EP ID EP523513
- DOI 10.18372/1990-5548.55.12787
- Views 145
- Downloads 0
SOME ASPECTS OF ACOUSTIC EMISSION AT MACHINING COMPOSITE MATERIALS
The processing of outcomes acoustic emission signals simulation is conducted at ascending composite machining speed and cutting depth, change of treated composite physical-mechanical characteristics with definition the r...
GROUND COMPLEX DETERMINATION OF THE FLIGHT TRAJECTORY OF A LOW-LYING OBJECT
Designing a system of protection of the state border on the basis of a capacitive converter. The analysis of the main stages of the system's operation is carried out, its principle of operation. The mathematical model of...
FEATURES OF MULTIPLICATIVE COMPLEMENTARY SIGNAL CONSTRUCTIONS BASED ON GENERALIZED BINARY BARKER SEQUENCES
Radio and signal processing systems often use spread-spectrum and pulse compression techniques combined with the matched filtering approach as the main signal processing scheme. Among different signals that have been des...
INTELLIGENT WEATHER FORECAST SYSTEM
It is considered the creation of intelligent weather forecast system in traditional statement as the prediction of time series For the solution of this problem it is chosen a random forest algorithm. Examples of program...
THE METHOD OF DYNAMIC DESIGN OF A SEARCH ENGINE BASED ON AUTOMATED ANALYSIS OF USER REQUESTS
The article describes the method of dynamically designing a search engine based on the analysis of user search queries and automated user's document generation. The advanced method of dynamic search with the account of i...