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Title: D-step ahead Kalman predictor for controlled autoregressive processes with random coefficients
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Abstract:
This paper deals with prediction of controlled autoregressive processes with additive white Gaussian noise and random coefficients adapted to an observation process. Our aim is twofold. We begin by extending to the standard Kalman predictor a result of Chen et al. (1989) on the optimality of the "standard Kalman filter" when applied to linear stochastic processes with almost surely finite random coefficients. ; We then show on an example how some particular nonlinear autoregressive processes can be embedded in these linear processes with random coefficients. Such nonlinear processes can then benefit from this optimal prediction, which is not provided by the usual "extended Kalman predictor".
Publisher:
Zielona Góra: Uniwersytet Zielonogórski
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Source:
AMCS, volume 9, number 1 (1999) ; click here to follow the link
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Biblioteka Uniwersytetu Zielonogórskiego
Object collections:
- Digital Library of Zielona Góra > Repository > Faculties > Faculty of Computer, Electrical and Control Engineering
- Digital Library of Zielona Góra > Repository > Types of work > Articles
- Digital Library of Zielona Góra > Repository > Scientific journals and UZ publishing series > International Journal of Applied Mathematics and Computer Science (AMCS)
- Digital Library of Zielona Góra > Repository > Scientific journals and UZ publishing series > International Journal of Applied Mathematics and Computer Science (AMCS) > International Journal of Applied Mathematics and Computer Science (AMCS) (1999)
Last modified:
Sep 3, 2021
In our library since:
Jan 19, 2021
Number of object content hits:
57
All available object's versions:
https://www.zbc.uz.zgora.pl/publication/64782
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International Journal of Applied Mathematics and Computer Science (AMCS)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 26 (2016)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 25 (2015)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 24 (2014)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 23 (2013)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 22 (2012)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 21 (2011)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 20 (2010)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 19 (2009)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 18 (2008)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 17 (2007)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 16 (2006)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 15 (2005)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 13 (2003)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 12 (2002)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 11 (2001)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 10 (2000)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 9 (1999)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 9, number 1 (1999)
- Some issues in the design of predictive controllers
- Adaptive control through on-line optimization. The MPCI paradigm and variants
- Analytical design of stable continuous-time generalised predictive control
- Robust predictive control using a time-varying youla parameter
- Suboptimal nonlinear predictive controllers
- On fast state-space algorithms for predictive control
- Sub-optimal nonlinear predictive and adaptive control based on the parametric Volterra model
- Adaptive predictive controller using orthonormal series functions
- Adaptive predictive control of a distillation column
- D-step ahead Kalman predictor for controlled autoregressive processes with random coefficients
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 9, number 2 (1999)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 9, number 3 (1999)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 9, number 4 (1999)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 9, number 1 (1999)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 8 (1998)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 7 (1997)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 6 (1996)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 5 (1995)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 4 (1994)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 3 (1993)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 2 (1992)
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International Journal of Applied Mathematics and Computer Science (AMCS),volume 1 (1991)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 26 (2016)
| Edition name | Date |
|---|---|
| D-step ahead Kalman predictor for controlled autoregressive processes with random coefficients | Sep 3, 2021 |
