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Zhurnal Vychislitel'noi Matematiki i Matematicheskoi Fiziki, 2006, Volume 46, Number 7, Pages 1219–1231
(Mi zvmmf440)
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This article is cited in 7 scientific papers (total in 7 papers)
Finding the response matrix to the external action from a subspace for a discrete linear stochastic dynamical system
R. S. Martynov, Yu. M. Nechepurenko Institute of Numerical Mathematics, Russian Academy of Sciences, ul. Gubkina 8, Moscow, 119991, Russia
Abstract:
For a discrete linear stochastic dynamical system, computation of the response matrix to the external action from a subspace using given observational data is examined. An algorithm is proposed and substantiated that makes it possible to improve the numerical accuracy and to reduce the amount of observational data compared to the general case where an arbitrary external action is allowed. As an illustration, a discrete system arising in the analysis of a linear stochastic dynamical continuous-time system is considered more thoroughly. Some numerical results are presented.
Key words:
response matrix, discrete stochastic dynamical system, external action from a subspace, computational algorithm.
Received: 01.07.2005
Citation:
R. S. Martynov, Yu. M. Nechepurenko, “Finding the response matrix to the external action from a subspace for a discrete linear stochastic dynamical system”, Zh. Vychisl. Mat. Mat. Fiz., 46:7 (2006), 1219–1231; Comput. Math. Math. Phys., 46:7 (2006), 1155–1167
Linking options:
https://www.mathnet.ru/eng/zvmmf440 https://www.mathnet.ru/eng/zvmmf/v46/i7/p1219
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Abstract page: | 237 | Full-text PDF : | 97 | References: | 36 | First page: | 1 |
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