Analyzing nonlinear stochastic control systems in the class of generalized characteristic functions

Analyzing nonlinear stochastic control systems in the class of generalized characteristic functions

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Article ID: iaor20112621
Volume: 72
Issue: 2
Start Page Number: 393
End Page Number: 404
Publication Date: Feb 2011
Journal: Automation and Remote Control
Authors: ,
Keywords: stochastic processes, programming: linear
Abstract:

We solve the problem of output process analysis for nonlinear stochastic control systems with continuous time. The proposed method is based on a spectral form of mathematical description which provides a unified approach to solving linear operator equations. The techniques we have developed allow for reducing the problem of finding the state vector distribution density to solving a system of linear algebraic equations on the decomposition coefficients for the desired density into a series by the functions of a certain complete orthonormal system for both the case when no constraints are imposed on state vector coordinates and the case of problems with constraints.

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