dc.contributor.author | Charalambous, Charalambos D. | en |
dc.contributor.author | Elliott, Robert J. | en |
dc.contributor.author | Krishnamurthy, Vikram | en |
dc.contributor.editor | Anon | en |
dc.creator | Charalambous, Charalambos D. | en |
dc.creator | Elliott, Robert J. | en |
dc.creator | Krishnamurthy, Vikram | en |
dc.date.accessioned | 2019-04-08T07:45:13Z | |
dc.date.available | 2019-04-08T07:45:13Z | |
dc.date.issued | 1997 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/43066 | |
dc.description.abstract | In this paper we present two methods for computing filtered estimates for moments of integrals and stochastic integrals of continuous-time nonlinear systems. The first method utilizes recursive stochastic partial differential equations. The second method utilizes conditional moment generating functions, For the case of Gaussian systems the recursive computations involve integrations with respect to Gaussian densities, while the moment generating functions involve differentiations of parameter dependent ordinary stochastic differential equations. The second method is applied in the expectation maximization algorithm. | en |
dc.publisher | IEEE | en |
dc.source | Proceedings of the IEEE Conference on Decision and Control | en |
dc.source | Proceedings of the IEEE Conference on Decision and Control | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-0031345443&partnerID=40&md5=b3c8e146a2c67b196725d93aedd24da7 | |
dc.subject | Random processes | en |
dc.subject | Algorithms | en |
dc.subject | Differentiation (calculus) | en |
dc.subject | Integral equations | en |
dc.subject | Parameter estimation | en |
dc.subject | Nonlinear control systems | en |
dc.subject | Control system analysis | en |
dc.subject | Partial differential equations | en |
dc.subject | Conditional moment generating functions | en |
dc.subject | Continuous time nonlinear systems | en |
dc.subject | Gaussian densities | en |
dc.title | Conditional moment generating functions for integrals and stochastic integrals | en |
dc.type | info:eu-repo/semantics/conferenceObject | |
dc.description.volume | 4 | |
dc.description.startingpage | 3944 | |
dc.description.endingpage | 3949 | |
dc.author.faculty | Πολυτεχνική Σχολή / Faculty of Engineering | |
dc.author.department | Τμήμα Ηλεκτρολόγων Μηχανικών και Μηχανικών Υπολογιστών / Department of Electrical and Computer Engineering | |
dc.type.uhtype | Conference Object | en |
dc.contributor.orcid | Charalambous, Charalambos D. [0000-0002-2168-0231] | |
dc.gnosis.orcid | 0000-0002-2168-0231 | |