摘要:

A new method is presented for the numerical identification of a pure random stationary process, a realization of which is given in the form of a time series. The sample covariance function (in the form of serial correlation coefficients) serves as input to an estimation programme which fits it to the autocovariance function of a mixed autoregressive, moving-average (AKMA) model. The fitting is done by maximum likelihood (ML) estimation of the model parameters. An asymptotic theory has been developed, valid for a somewhat more general model. Solution of the ML equation is accomplished by a multivariable Newton—Raphson procedure preceded by a strategic computer search. The estimates, which exist with a probability approaching unity, have the properties of uniqueness, consistency, efficiency, and a joint normal multivariate distribution. The ML method is shown to be asymptotically equivalent to a weighted least squares procedure, accomplished by the minimization of a quadratic form having chi-square distribution, a property which is used for hypothesis testing. In the case of rejection, ARMA models of different order must be tried until a hypothesis is accepted. The computer algorithms have been tried on simulated time series of ARMA models having up to seven parameters. The numerical consequences of various aspects of the asymptotic theory have been investigated and found to corroborate the theory.

ISSN:0020-7179    

DOI:10.1080/00207177408932695

出版商:Taylor & Francis Group    

年代:1974

数据来源: Taylor

摘要:

The minimum energy optimization problem is considered for linear systems having time delay. An algorithm is presented which demonstrates how to compute and to simply implement such an optimal feedback control law. The optimal control law is shown to be an L2function if the original system has the property of controllability to a function as defined by Weiss (1970). From the algorithm presented, the optimal control can be realized on line in real time using only analogue elements. The applicability of the approach is demonstrated by a sixth-order example.

ISSN:0020-7179    

DOI:10.1080/00207177408932697

出版商:Taylor & Francis Group    

年代:1974

数据来源: Taylor

摘要:

Recently proposed discrete-model representation of turbo-charged diesel engines are recast in state-space form and used in an optimal control study. It is known that the turbo-charger has considerable influence on the dynamical behaviour of the engine and this is accounted for by incorporating a weighting of the air-fuel ratio in the performance index. This leads to a rather unusual form of the quadratic performance functional and the optimal controls are determined using both dynamic programming and discrete minimum principle techniques. This leads to extensions and some simplification of known theoretical results.

ISSN:0020-7179    

DOI:10.1080/00207177408932698

出版商:Taylor & Francis Group    

年代:1974

数据来源: Taylor

摘要:

The work describes the application of the authors’ previously described work, on achieving repeatable frequency response measurements from sampled-data systems, to a large diesel engine. A review is made of the salient points necessary to appreciate the measurements and various problems that occurred during the experiments are discussed. Experimental evidence is presented showing that once the essential sampled nature of a reciprocating engine is recognized, and allowed for, the engine control system should be capable of being designed systematically.

ISSN:0020-7179    

DOI:10.1080/00207177408932699

出版商:Taylor & Francis Group    

年代:1974

数据来源: Taylor

摘要:

In a previous paper (Johnson 1974), the notion of state overdescription in dynamical systems was introduced and some general results, applicable to a broad class of nonlinear dynamical systems, were derived. In the present paper those previous general results are applied to the special case of time-invariant linear dynamical systems where several refinements can be made. It is shown that state overdescription, in that case, can be characterized in terms of a simple rank condition for the system matrices. Moreover, that condition leads to a special mode of failure of Kalman's well-known controllability criterion. The latter result is shown to have a somewhat unique interpretation in ‘ transfer functions ‘ pole-zero cancellations ’.

ISSN:0020-7179    

DOI:10.1080/00207177408932700

出版商:Taylor & Francis Group    

年代:1974

数据来源: Taylor

摘要:

A method of estimating the parameters of the state-apace equation of a linear discrete-time system, using a. pseudo-random test signal arid correlation analysis, is described. Using the results of system theoretical considerations, a short period of sequence can be used for the estimation of parameters.

ISSN:0020-7179    

DOI:10.1080/00207177408932701

出版商:Taylor & Francis Group    

年代:1974

数据来源: Taylor

摘要:

In the viewpoint of engineering, difference equations are often used to analyse sampled -data systems in which the stability and boundedness problems are considered to be very important

ISSN:0020-7179    

DOI:10.1080/00207177408932702

出版商:Taylor & Francis Group    

年代:1974

数据来源: Taylor

摘要:

Algorithms for obtaining sub-optimal filtering, fixed-point smoothing, and fixed-lag smoothing estimates of the state of a non-linear system given noisy discrete time measurements are presented. The filtering problem involves obtaining estimates of the states x(kT) and x((k −1)T), and the smoothing algorithms generate an estimate of the state x((k — N)T) for either (k — N) orNconstant, whereTis the time increment between receiving measurements andk= 0, 1,…, is the discrete time index. An example is included to illustrate the utility of the smoothing algorithms for obtaining estimates superior to filtering results.

ISSN:0020-7179    

DOI:10.1080/00207177408932703

出版商:Taylor & Francis Group    

年代:1974

数据来源: Taylor

摘要:

A simple algebraic derivation is given for the relationship among the output autocorrelation functions of a general half-wave device and its associated even and odd full-wave devices, when the input is an arbitrary random process. The relationship involves the output autocorrelation fun‘ dual ’ half-wave device, which reduces to the ordinary half-wave output autocorrelation function in the case where the input second-order density is symmetric in both variables. No restrictions are placed on the output-input characteristic of the half-wave device in response to positive input values and all special results previously reported for the output correlation functions of half-wave and full-wavelinearrectifiers are included as special cases.

ISSN:0020-7179    

DOI:10.1080/00207177408932704

出版商:Taylor & Francis Group    

年代:1974

数据来源: Taylor

摘要:

In this paper, the performance deterioration of optimal regulators caused by the introduction of deterministic state-estimators such as Kalman estimators and Luenberger observers is investigated. It is shown that, in the case of Kalman estimators, the performance deterioration cannot be made arbitrarily small unless the optimal control law can be implemented by direct output feedback. In the case of Luenberger observers with minimum order, a necessary and sufficient condition for the performance deterioration to be made arbitrarily small is derived.

ISSN:0020-7179    

DOI:10.1080/00207177408932705

出版商:Taylor & Francis Group    

年代:1974

数据来源: Taylor