On sequential parameter estimation of continuous dynamic systems by discrete time observations

V. A. Vasiliev, V. V. Konev

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    Abstract

    The problem of parameter estimation of a partly observable linear dynamic system described by stochastic differential equations is considered. The measurements of accessible for direct observation components of the process are assumed to be made in discrete equidistant instants of time. Sequential plans of estimation of unknown parameters of the preassigned least square accuracy have been constructed. The strong convergence of these estimates has been established. The limit relationships binding a duration of the procedure with its accuracy has been obtained.

    Original languageEnglish
    Pages (from-to)197-207
    Number of pages11
    JournalProblems of control and information theory
    Volume19
    Issue number3
    Publication statusPublished - 1990

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    ASJC Scopus subject areas

    • Engineering(all)

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