Theory and algorithm of optimal control solution to dynamic system parameters identification (II) — Stochastic system parameters identification and application example

Theory and algorithm of optimal control solution to dynamic system parameters identification. II: Stochastic system parameters identification and application example

descriptionPublicationkeyboard_double_arrow_right Article 01 Mar 1999 English Publisher:Springer Science and Business Media LLCJournal:Applied Mathematics and Mechanics, volume 20, pages 241-246 (issn: 0253-4827, eissn: 1573-2754,

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Authors: Wu, Zhigang; Wang, Benli; Ma, Xingrui;

doi: 10.1007/bf02463848

Theory and algorithm of optimal control solution to dynamic system parameters identification (II) — Stochastic system parameters identification and application example

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Abstract

For Part I see ibid., 135-142 (1999; Zbl 0933.93031). This paper deals with a dynamic system and its parameter identification. Stochastic optimal control theory is used after using a procedure with Hamilton-Jacobi-Bellman equations for a parameter identification problem. Then, a parameter identification algorithm for a stochastic dynamic system is introduced. An application to nonlinear parameters identification is given in the last section.

Related Organizations

Harbin Institute of Technology
China (People's Republic of)

Keywords

Identification in stochastic control theory, identification, stochastic optimal control

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