Search for dissertations about: "stochastic filtering"

Showing result 1 - 5 of 37 swedish dissertations containing the words stochastic filtering.

  2. 1. Estimation and Control of Resonant Systems with Stochastic Disturbances

    Author : Peter Nauclér; Torsten Söderström; Anders Robertsson; Uppsala universitet; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; vibration control; stochastic control; stochastic systems; feedforward control; Wiener filtering; Kalman filtering; wave separation; unbalance estimation; nonlinear regression; Automatic control; Reglerteknik;

    Abstract : The presence of vibration is an important problem in many engineering applications. Various passive techniques have traditionally been used in order to reduce waves and vibrations, and their harmful effects. Passive techniques are, however, difficult to apply in the low frequency region. READ MORE

  4. 2. Optimal Switching Problems and Related Equations

    Author : Marcus Olofsson; Kaj Nyström; Saïd Hamadène; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; optimal switching; stochastic control; variational inequalities; backward stochastic differential equations; incomplete information; stochastic filtering; Mathematics; Matematik;

    Abstract : This thesis consists of five scientific papers dealing with equations related to the optimal switching problem, mainly backward stochastic differential equations and variational inequalities. Besides the scientific papers, the thesis contains an introduction to the optimal switching problem and a brief outline of possible topics for future research. READ MORE

  5. 3. Performance and Implementation Aspects of Nonlinear Filtering

    Author : Gustaf Hendeby; Fredrik Gustafsson; Petar Djurić; Linköpings universitet; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; particle filtering; nonlinear filtering; fault detection; Cramer-Rao lower bound; Kullback divergence; intrinsic accuracy; Automatic control; Reglerteknik;

    Abstract : I många fall är det viktigt att kunna få ut så mycket och så bra information som möjligt ur tillgängliga mätningar. Att utvinna information om till exempel position och hastighet hos ett flygplan kallas för filtrering. I det här fallet är positionen och hastigheten exempel på tillstånd hos flygplanet, som i sin tur är ett system. READ MORE

  6. 4. Optimal stopping, incomplete information, and stochastic games

    Author : Yuqiong Wang; Erik Ekström; Sören Christensen; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Optimal stopping; sequential analysis; incomplete information; asymmetric information; stochastic filtering; Dynkin games; tug-of-war games; Mathematics; Matematik;

    Abstract : This thesis contains six papers on the topics of optimal stopping and stochastic games. Paper I extends the classical Bayesian sequential testing and detection problems for a Brownian motion to higher dimensions. We demonstrate unilateral concavity of the cost function and present its structural properties through various examples. READ MORE

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

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

    Abstract : 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. READ MORE