KMS Of Academy of mathematics and systems sciences, CAS
A NOTE ON CONTINUOUS-TIME ELS | |
GUO, L | |
1994-02-01 | |
发表期刊 | SYSTEMS & CONTROL LETTERS |
ISSN | 0167-6911 |
卷号 | 22期号:2页码:111-121 |
摘要 | The parameter estimation of continuous-time finite-dimensional linear stochastic systems is a problem of long-standing interest. The method usually used is the extended least-squares (ELS) algorithm described by a nonlinear stochastic differential equation (SDE), with the existence of the global strong solution assumed. This paper shows that the ELS estimate does exist in [0, infinity), and at the same time presents a number of convergence results paralleling those for the discrete-time case. |
关键词 | STOCHASTIC SYSTEMS EXTENDED LEAST SQUARES STOCHASTIC DIFFERENTIAL EQUATION |
语种 | 英语 |
WOS研究方向 | Automation & Control Systems ; Operations Research & Management Science |
WOS类目 | Automation & Control Systems ; Operations Research & Management Science |
WOS记录号 | WOS:A1994MW79300004 |
出版者 | ELSEVIER SCIENCE BV |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/27758 |
专题 | 中国科学院数学与系统科学研究院 |
作者单位 | CHINESE ACAD SCI,INST SYST SCI,BEIJING 100080,PEOPLES R CHINA |
推荐引用方式 GB/T 7714 | GUO, L. A NOTE ON CONTINUOUS-TIME ELS[J]. SYSTEMS & CONTROL LETTERS,1994,22(2):111-121. |
APA | GUO, L.(1994).A NOTE ON CONTINUOUS-TIME ELS.SYSTEMS & CONTROL LETTERS,22(2),111-121. |
MLA | GUO, L."A NOTE ON CONTINUOUS-TIME ELS".SYSTEMS & CONTROL LETTERS 22.2(1994):111-121. |
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