Continuous time systems identification with unknown noise covariance = Systèmes d'identification de temps continu avec co-variation de bruit (ou bruits) inconnus = Identifikation zeitkontinuierlicher systeme mit unbekannter rauschkovarianz

In identifying parameters of a continuous-time dynamical system, a difficulty arises when the observation noise covariance is unknown. The present paper solves this problem in the case of a linear time-invariant system with white noise affecting additively both the state and the observation. The problem is that the likelihood functional cannot be obtained when the observation noise covariance is unknown. A related procedure is suggested, however, and the estimates are obtained by finding roots of an appropriate functional. It is shown that the estimates obtained are consistent

Supersymmetry Across Nanoscale Heterojunction

We argue that supersymmetric transformation could be applied across the heterojunction formed by joining of two mixed semiconductors. A general framework is described by specifying the structure of ladder operators at the junction for making quantitative estimation of physical quantities. For a particular heterojunction device, we show that an exponential grading inside a nanoscale doped layer is amenable to exact analytical treatment for a class of potentials distorted by the junctions through the solutions of transformed Morse-Type potentials.Comment: 7 pages, 2 figure

Quantum, noncommutative and MOND corrections to the entropic law of gravitation

Quantum and noncommutative corrections to the Newtonian law of inertia are considered in the general setting of Verlinde’s entropic force postulate. We demonstrate that the form for the modified Newtonian dynamics (MOND) emerges in a classical setting by seeking appropriate corrections in the entropy. We estimate the correction term by using concrete coherent states in the standard and generalized versions of Heisenberg’s uncertainty principle. Using Jackiw’s direct and analytic method, we compute the explicit wavefunctions for these states, producing minimal length as well as minimal products. Subsequently, we derive a further selection criterium restricting the free parameters in the model in providing a canonical formulation of the quantum corrected Newtonian law by setting up the Lagrangian and Hamiltonian for the system

An approach to rational approximation of power spectral densities on the unit circle

In this article, we propose a new approach to determining the best rational approximation of a given irrational power spectral density defined on the unit circle such that the approximant has McMillan degree less than or equal to some positive integer $n$. The main result is that we prove the existence of an optimal solution and that this solution can be found by standard methods of optimization

Stackelberg strategies in linear-quadratic stochastic differential games

This paper obtains the Stackelberg solution to a class of two-player stochastic differential games described by linear state dynamics and quadratic objective functionals. The information structure of the problem is such that the players make independent noisy measurements of the initial state and are permitted to utilize only this information in constructing their controls. Furthermore, by the very nature of the Stackelberg solution concept, one of the players is assumed to know, in advance, the strategy of the other player (the leader). For this class of problems, we first establish existence and uniqueness of the Stackelberg solution and then relate the derivation of the leader's Stackelberg solution to the optimal solution of a nonstandard stochastic control problem. This stochastic control problem is solved in a more general context, and its solution is utilized in constructing the Stackelberg strategy of the leader. For the special case Gaussian statistics, it is shown that this optimal strategy is affine in observation of the leader. The paper also discusses numerical aspects of the Stackelberg solution under general statistics and develops algorithms which converge to the unique Stackelberg solution

Linear-quadratic stochastic differential games for distributed parameter systems

A linear-quadratic differential game with infinite dimensional state space is considered. The system state is affected by disturbance and both players have access to different measurements. Optimal linear strategies for the pursuer and the evader, when they exist, are explicitly determined

Parameter estimation of electricity spot models from futures prices

We consider a slight perturbation of the Schwartz-Smith model for the electricity futures prices and the resulting modified spot model. Using the martingale property of the modified price under the risk neutral measure, we derive the arbitrage free model for the spot and futures prices. We estimate the parameters of the model by the method of maximum likelihood using the Kalman filter's estimate of the unobservable state variables, coupled with the usual statistical techniques. The main advantage of the new model is that it avoids the inclusion of artificial noise to the observation equation for the implementation of Kalman filter. The extra noise is build in within the model in an arbitrage free setting

A new approach to particle based smoothed marginal MAP

We present here a new method of finding the MAP state estimator from the weighted particles representation of marginal smoother distribution. This is in contrast to the usual practice, where the particle with the highest weight is selected as the MAP, although the latter is not necessarily the most probable state estimate. The method developed here uses only particles with corresponding filtering and smoothing weights. We apply this estimator for finding the unknown initial state of a dynamical system and addressing the parameter estimation problem