Application of Methods of Experiment Design Theory in Problem of Stochastic Nonlinear Discrete Systems Identification

V.M. Chubich (Russia)


Parameter estimation, information matrix, optimality criteria


Some theoretical and applied aspects of the active iden tification of the stochastic nonlinear discrete systems are considered for the first time. Original results are obtained in the case that the parameters of mathematical models to be estimated appear in the state and control equations, as well as the initial condition and the cova riance matrices of the dynamic noise and measurement errors. An example of optimal parameter estimation for one model structure is shown.

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