Stochastic Systems

On approximate aggregation of linear stochastic systems

V. V. Dombrovskii

Tomsk

Abstract: A method is proposed of aggregating linear stochastic systems whereby the state of the original system is obtained in an optimal, in a sense, way from the data on the state of its aggregated model. The aggregation matrix is chosen so that the eigen numbers in the dynamics matrix of the aggregated system are a specified subset of the eigen numbers dynamics matrix of the original system. The method is applicable to both discontinouos and continuous systems.

UDC: 62-501.72


Received: 24.11.1987

 English version: Automation and Remote Control, 1989, 50:7, 935–940

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