WHITE-NOISE REPRESENTATIONS IN STOCHASTIC-REALIZATION THEORY

被引：52

作者：

BORKAR, VS

机构：

[1] Indian Inst of Science, Bangalore

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1993年 / 31卷 / 05期

关键词：

WHITE-NOISE REPRESENTATION; STOCHASTIC REALIZATION THEORY; STOCHASTIC DYNAMICAL SYSTEMS; ERGODIC DECOMPOSITION OF STATIONARY PROCESSES; EXTREMAL MEASURES;

D O I：

10.1137/0331050

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

It is proved that any random sequence can be exhibited as the output of a stochastic dynamical system driven by white noise. Further refinements are obtained for Markov, stationary, and ergodic sequences. This settles some open problems in stochastic realization theory posed by Willems and Van Schuppen [NA TO ASI-AMS Seminar on Algebraic and Geometric Methods in Linear System Theory, Harvard University, Cambridge. MA, 1979].

引用

页码：1093 / 1102

页数：10

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