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Orozco R.P.,Research Center en Ciencia Aplicada y Tecnologia Avanzada del | Juarez J.J.M.,Research Center en Computacion del | Aguilar G.G.,Escuela Superior de Ingenieria Mecanica and Electrica del IPN
Revista Mexicana de Fisica | Year: 2012

This paper shows the development of a optimal stochastic estimator for a black-box system in a m-dimensional space, observing noise with an unknown dynamics model. The results are based in state space, described by a discrete stochastic estimator and noise characterization. The proposed result gives an algorithm to construct diagonal form for the state space system. It is a new technique for a instrumental variable tool, and a diagonalization process avoiding the calculation of pseudo-inverse matrices is presented with a linear computational complexity O(j) and j as the diagonal matrix dimension. The results show that it is possible to reconstruct the observable signal with a probability approximation.

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