Orthonormal basis functions for continuous-time systems and Lp convergence

Wed 11 Apr 2018 12:15:33 AEST

In this paper, model sets for linear-time-invariant continuous-time systems that are spanned by fixed pole orthonormal bases are investigated. These bases generalize the well-known Laguerre and two-parameter Kautz cases. It is shown that the obtained model sets are everywhere dense in the Hardy space H 1(Π) under the same condition as previously derived by the authors for the denseness in the (Π is the open right half plane) Hardy spaces H p(Π), 1

Issues in sampling and estimating continuous-time models with stochastic disturbances

Sat 24 Mar 2018 08:07:03 AEDT

The standard continuous time state space model with stochastic disturbances contains the mathematical abstraction of continuous time white noise. To work with well defined, discrete time observations, it is necessary to sample the model with care. The basic issues are well known, and have been discussed in the literature. However, the consequences have not quite penetrated the practice of estimation and identification. One example is that the standard model of an observation, being a snapshot of the current state plus noise independent of the state, cannot be reconciled with this picture. Another is that estimation and identification of time continuous models require a more careful treatment of the sampling formulas. We discuss and illustrate these issues in the current contribution. An application of particular practical importance is the estimation of models based on irregularly sampled observations.