This article is cited in 6 papers

Analytical modeling and filtering for integrodifferential systems with unsolved derivatives

I. N. Sinitsyn

Institute of Informatics Problems, Federal Research Center "Computer Science and Control" of the Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119133, Russian Federation

Abstract: For nonlinear integrodifferential stochastic systems (IDStS) with unsolved derivatives reducible to differential stochastic systems (StS) by means of singular kernels, the following methods and algorithms are proposed: analytical modeling of normal (Gaussian) stochastic processes and analytical synthesis of normal suboptimal filters for information processing in IDStS. Both Gaussian and non-Gaussian StS white noises are considered. Quality estimation methods based on the sensitivity theory are suggested. An example with discontinuous nonlinearity is considered in details. Directions for future investigations are given.

Keywords: integrodifferential stochastic system (IDStS), method of analytical modeling (MAM), method of normal approximation (MNA), method of statistical linearization (MSL), normal suboptimal filter (NSOF), stochastic system (StS), stochastic systems with unsolved derivatives.

Received: 08.07.2020

DOI: 10.14357/08696527210104