Comparison of the approximate solutions of a noisy non-linear system based on Monte Carlo simulation
作者:
Y. SAWARAGI,
T. SOEDA,
T. NAKAMIZO,
S. OMATU,
Y. TOMITAS,
期刊:
International Journal of Control
(Taylor Available online 1976)
卷期:
Volume 24,
issue 5
页码: 719-731
ISSN:0020-7179
年代: 1976
DOI:10.1080/00207177608932858
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
This paper is concerned with the comparison of the approximate methods in order to evaluate the values of state variables of a noisy nonlinear system by Monte Carlo simulation. The approximate methods considered here are (1) the stochastic linearisation, (2) the first-order approximation and (3) the second-order approximation. It is shown that the order of the accuracies of the covariance based on the approximate equation of Riccati type does not always coincide with the order of the practical error covariance of the original system which is obtained by using Monte Carlo simulation. Therefore the comparison of the accuracies should not be carried out by the solution obtained from the covariance equation but by the practical error covariance of the original system directly. This result is demonstrated with numerical examples. The characteristics of the random numbers which are used for Monte Carlo simulation are examined by various kinds of tests.
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