Title :
Exact calculations of discrete-time process noise statistics for hybrid continuous/discrete time applications
Author :
Farrell, Jay ; Livstone, Mitchell
Author_Institution :
Charles Stark Draper Lab. Inc., Cambridge, MA, USA
Abstract :
Discrete-time models of continuous-time plants are commonly required due to the popular use of computers to implement control and estimation algorithms. When stochastic design techniques are utilized, it is necessary to determine the equivalent discrete-time process noise statistics from the continuous-time process noise statistics. Several references on the object of discrete-time control and estimation present approximate solutions for the necessary transformation; in this paper exact solutions are discussed
Keywords :
discrete time systems; eigenvalues and eigenfunctions; noise; statistical analysis; stochastic systems; continuous time system; discrete time process noise statistics; discrete time systems; eigenvalues; exact solutions; sampling period; stochastic system; Closed-form solution; Covariance matrix; Eigenvalues and eigenfunctions; Integral equations; Matrices; Physics; Sampling methods; Space technology; Statistics; Thumb;
Conference_Titel :
Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on
Conference_Location :
San Antonio, TX
Print_ISBN :
0-7803-1298-8
DOI :
10.1109/CDC.1993.325027
