
doi: 10.14529/mmp160208
Summary: The application of methods of theory of experiment design for the identification of dynamic systems allows the researcher to gain more qualitative mathematical models compared with the traditional methods of passive identification. In this paper, the authors summarize results and offer the algorithms of active identification of the Gaussian linear discrete systems based on the design inputs and initial states. We consider Gaussian linear discrete systems described by state space models, under the assumption that unknown parameters are included in the matrices of the state, control, disturbance, measurement, covariance matrices of system noise and measurement. The original software for active identification of Gaussian linear discrete systems based on the design inputs and initial states are developed. Parameter estimation is carried out using the maximum likelihood method involving the direct and dual procedures for synthesizing A- and D-optimal experiment design. The example of the model structure for the control system of submarine shows the effectiveness and appropriateness of procedures for active parametric identification.
PARAMETER ESTIMATION,MAXIMUM LIKELIHOOD METHOD,KALMAN FILTER,EXPERIMENT DESIGN,(FISHER) INFORMATION MATRIX,ОЦЕНИВАНИЕ ПАРАМЕТРОВ,МЕТОД МАКСИМАЛЬНОГО ПРАВДОПОДОБИЯ,ФИЛЬТР КАЛМАНА,ПЛАНИРОВАНИЕ ЭКСПЕРИМЕНТА,ИНФОРМАЦИОННАЯ МАТРИЦА, maximum likelihood method, Estimation and detection in stochastic control theory, Identification in stochastic control theory, планирование эксперимента, Filtering in stochastic control theory, оценивание параметров, метод максимального правдоподобия, Discrete-time control/observation systems, Linear systems in control theory, информационная матрица, фильтр Калмана, Kalman filter, УДК 618.5.015, experiment design, parameter estimation, (Fisher) information matrix
PARAMETER ESTIMATION,MAXIMUM LIKELIHOOD METHOD,KALMAN FILTER,EXPERIMENT DESIGN,(FISHER) INFORMATION MATRIX,ОЦЕНИВАНИЕ ПАРАМЕТРОВ,МЕТОД МАКСИМАЛЬНОГО ПРАВДОПОДОБИЯ,ФИЛЬТР КАЛМАНА,ПЛАНИРОВАНИЕ ЭКСПЕРИМЕНТА,ИНФОРМАЦИОННАЯ МАТРИЦА, maximum likelihood method, Estimation and detection in stochastic control theory, Identification in stochastic control theory, планирование эксперимента, Filtering in stochastic control theory, оценивание параметров, метод максимального правдоподобия, Discrete-time control/observation systems, Linear systems in control theory, информационная матрица, фильтр Калмана, Kalman filter, УДК 618.5.015, experiment design, parameter estimation, (Fisher) information matrix
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