Title :
Comrade matrix and systems excited by colored noise
Author :
Anderson, Brian D O
Author_Institution :
University of Newcastle, Newcastle, NSW, Australia
fDate :
2/1/1980 12:00:00 AM
Abstract :
Stable linear systems described by state variable equations are considered where the input process is stationary and, in general, nonwhite. We show that there exists a natural coordinate basis for the system, the main properties for which imply that the state covariance matrix is a multiple of the identity, the system matrix itself is a comrade matrix, and the orthonormal polynomial set used to define the comrade matrix is obtained from the input spectrum and the system characteristic polynomial.
Keywords :
Linear systems, stochastic continuous-time; Matrices; Colored noise; Diffusion processes; Estimation error; Filtering; Nonlinear systems; Notice of Violation; Parameter estimation; Polynomials; Sonar equipment; Upper bound;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1980.1102250