Sökning: "Time-Varying Stochastic Systems"

Visar resultat 1 - 5 av 22 avhandlingar innehållade orden Time-Varying Stochastic Systems.

  1. 1. On Parameter Estimation and Control of Time-Varying Stochastic Systems

    Författare :Bengt Lindoff; Matematisk statistik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Statistics; Adaptive Predictive Control; Adaptive Stochastic Control; Dual Control; Convergence Analysis; Quadratic Forms; Forgetting Factor; Recursive Least Squares; Recursive Estimation; Linear Systems; Time-Varying Stochastic Systems; operations research; programming; actuarial mathematics; Statistik; operationsanalys; programmering; aktuariematematik;

    Sammanfattning : This thesis is about parameter estimation and control of time-varying stochastic systems. It can be divided into two parts. The first part deals with an estimation algorithm commonly used when estimating parameters in time-varying stochastic systems, the Recursive Least Squares (RLS) algorithm with forgetting factor. LÄS MER

  2. 2. On estimation in econometric systems in the presence of time-varying parameters

    Författare :Kurt Brännäs; Umeå universitet; []
    Nyckelord :SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; NATURVETENSKAP; SAMHÄLLSVETENSKAP; NATURAL SCIENCES; SOCIAL SCIENCES; Econometric systems; time-varying parameters; Kalman filtering; stochastic regressors; unknown transition matrix; robustness; simulation;

    Sammanfattning : Economic systems are often subject to structural variability. For the achievement of correct structural specification in econometric modelling it is then important to allow for parameters that are time-varying, and to apply estimation techniques suitably designed for inference in such models. LÄS MER

  3. 3. Distributed Optimization in Time-Varying Environments

    Författare :Marie Maros; Joakim Jaldén; Alex Olshevsky; KTH; []
    Nyckelord :Distributed Optimization; Electrical Engineering; Elektro- och systemteknik;

    Sammanfattning : Solving optimization problems in a distributed manner is critical in many systems. Many relevant systems are distributed in nature in the sense that they consist of autonomous agents that are to come to a joint decision based on a certain metric. LÄS MER

  4. 4. Time Varying Parameters in Exchange Rate Models

    Författare :Richard Henricsson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; stochastich volatility.; purchasing power parity; GARCH; exchange rates; Stationarity; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik;

    Sammanfattning : This thesis consists of five papers on different aspects of parametervariation in some common exchange rate models.The first paper investigates the stability in the real exchange rate, witch is equivalent to purchasing power parity (PPP). LÄS MER

  5. 5. Stochastic Event-Based Control and Estimation

    Författare :Toivo Henningsson; Institutionen för reglerteknik; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; event-based control; event-based estimation; sporadic control; stochastic control; stochastic hybrid systems; sum-of-squares methods; control over networks; quantized measurements;

    Sammanfattning : Digital controllers are traditionally implemented using periodic sampling, computation, and actuation events. As more control systems are implemented to share limited network and CPU bandwidth with other tasks, it is becoming increasingly attractive to use some form of event-based control instead, where precious events are used only when needed. LÄS MER