Stochastic System Identification by Evolutionary Algorithms
نویسندگان
چکیده
For system identification, the ordinary differential equations (ODEs) model is popular for its accuracy and effectiveness. Consequently, the ODEs model is extended to the stochastic differential equations (SDEs) model to tackle the stochastic case intuitively. But the existence of stochastic integral is a rigid barrier. We simply transform the SDEs to their corresponding stochastic difference equations (SDCEs) to eliminate stochastic integrals and propose an easy but effective solution to stochastic system identification. In this solution, the maximum likelihood estimation can be applied and the evolutionary algorithms are used to determine structures and parameters of the unknown system.
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