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Modeling and Inverse Problems in the Presence of Uncertainty
book

Modeling and Inverse Problems in the Presence of Uncertainty

by H. T. Banks, Shuhua Hu, W. Clayton Thompson
April 2014
Intermediate to advanced content levelIntermediate to advanced
405 pages
13h
English
Chapman and Hall/CRC
Content preview from Modeling and Inverse Problems in the Presence of Uncertainty
Propagation of Uncertainty in a Continuous Time Dynamical System 269
with Y(t) = (Y
1
(t), Y
2
(t), . . . , Y
ν
(t))
T
is a ν-dimensional cor related stochastic
process independent of random initial vector X
0
. Moreover we allow that
Y(t) may be dependent on the states; tha t is, there exists a feedback between
the states of the s ystem (7.115) and the driving process. Our formulation is
partly motivated by applications in optimal control.
By Section 7.1.7.3 we know that (7.115) with the driving process { Y(t) :
t 0} taken as a Gaussian colored noise is often found useful in a wide range
of applications. In addition, Equation (7.1 15) with the driving process chosen
as a continuous time Markov chain has been used in engineering for investi-
gating the dynamic ...
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Publisher Resources

ISBN: 9781482206432