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1996•Optimal Control Applications and MethodsRequires access

Calculation of discrete-time process noise statistics for hybrid continuous/discrete-time applications

Jay A. Farrell, Mitchell M. Livstone

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Abstract

Discrete-time models of continuous-time plants are commonly required owing to the popular use of computers to implement control and estimation algorithms. When stochastic design techniques such as the discrete-time Kalman filter are utilized, it is necessary to determine the equivalent discrete-time process noise statistics from the continuous-time process noise statistics. Herein we present a new solution for the required transformation.

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What this paper is about

Discrete-time models of continuous-time plants are commonly required owing to the popular use of computers to implement control and estimation algorithms. When stochastic design techniques such as the discrete-time Kalman filter are utilized, it is necessary to determine the equivalent discrete-time process noise statistics from the continuous-time process noise statistics. Herein we present a new solution for the required transformation.

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Available abstract

Discrete-time models of continuous-time plants are commonly required owing to the popular use of computers to implement control and estimation algorithms. When stochastic design techniques such as the discrete-time Kalman filter are utilized, it is necessary to determine the equivalent discrete-time process noise statistics from the continuous-time process noise statistics. Herein we present a new solution for the required transformation.

Key concepts: Discrete time and continuous time, Discrete-time stochastic process, Noise (video), Kalman filter, Computer science, Discrete modelling, Process (computing), Transformation (genetics)

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