Parameter Identification of the Discrete-Time Stochastic Systems with Multiplicative and Additive Noises Using the UD-Based State Sensitivity Evaluation
The paper proposes a new method for solving the parameter identification problem for a class of discrete-time linear stochastic systems with multiplicative and additive noises using a numerical gradient-based optimization. The constructed method is based on the application of a covariance UD filter...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2023-12-01
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Series: | Mathematics |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-7390/11/24/4964 |