Bounded state space

Abstract

This investigation is divided functionally into three different areas: (1) study of bounded state space, (2) nonlinear smoothing theory, and (3) system identification. (1) Study of bounded state space: necessary and sufficient conditions for an optimal control are obtained for a bounded state space optimal control problem. The difficulty of determining the so-called jump conditions is eliminated; however, the problem of determining the points where the response either enters or leaves the boundary still remains unsolved. (2) Nonlinear smoothing theory: nonlinear fixed-interval, fixed-point and fixed-lag smoothing of a random signal generated by a stochastic differential equation are investigated. Results on the asymptotic stability of a linear constant-parameter fixed-interval smoothing filter are obtained. (3) System identification: a particular stochastic modelling problem is solved. An Ito stochastic integral equation is used to mathematically model a black box having multiple inputs and multiple outputs. A new method for identifying system parameters is presented.