liu.seSearch for publications in DiVA
Change search
ReferencesLink to record
Permanent link

Direct link
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.
2009 (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, 2009. , 9 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2901
Keyword [en]
System identification, Continuous-time, Sampling, State-space models
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-56062ISRN: LiTH-ISY-R-2901OAI: diva2:316877
Swedish Research Council
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2014-09-03Bibliographically approved

Open Access in DiVA

fulltext(507 kB)49 downloads
File information
File name FULLTEXT01.pdfFile size 507 kBChecksum SHA-512
Type fulltextMimetype application/pdf

Search in DiVA

By author/editor
Ljung, Lennart
By organisation
Automatic ControlThe Institute of Technology
Control Engineering

Search outside of DiVA

GoogleGoogle Scholar
Total: 49 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 101 hits
ReferencesLink to record
Permanent link

Direct link