Stochastic Systems

Estimation and identification in systems of random structure

I. E. Kazakov

Moscow

Abstract: The paper is concerned with a multi-dimensional Markov mixed process of random structure, or described by different stochastic differential equations with random parameters on random time intervals. A general and an approximate algorithms are obtained for estimating the probability of the structure, and the state vector, and for parameter identification.

UDC: 519.217


Received: 16.08.1978

 English version: Automation and Remote Control, 1980, 40:8, 1148–1155

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