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In this paper, we extend our earlier results on minimum variance filter for systems with additive multiplicative noise in two different ways. Firstly, we propose a novel characterization of the linearization error in terms of multiplicative noise. Secondly, we also allow for random delay of up to one time step in the measurement. The delay is modelled by Bernoulli random variables. We derive a closed-form...
In this paper, we extend the minimum variance filter, which is proposed in the literature for discrete state space systems with multiplicative noise, to continuous-discrete systems with multiplicative noise. The differential equations that describe the process are discretised using the Euler scheme at a higher sampling frequency than the measurement frequency. We test the performance of our new filter...
A minimum variance filter for a class of discrete time systems with additive as well as multiplicative noise is investigated in this paper. We extend the results from recent work by Ponomareva and Date to account for multiplicative noise in the measurement equation. More importantly, we provide an interpretation of the multiplicative noise in both transition and measurement equations in terms of parameter...
It is shown how noisy closed-loop frequency response measurements may be used to obtain pointwise in frequency bounds on the possible difference between an unknown closed-loop system and a nominal model of the closed-loop. To this end, the ν-gap metric framework for robustness analysis plays a central role.
A new lower bound is derived for the level of performance achieved by a given feedback compensator with a plant that is not known completely. The bound involves quantities reflecting the performance of the controller with a nominal model of the plant, quantities that can be computed from a finite number of frequency response samples of the unknown plant, and quantities related to the complexity (in...
Over the past two decades, financial market crises with similar features have occurred in different regions of the world. Unstable cross-market linkages during financial crises are referred to as financial contagion. We simulate the transmission of financial crises in the context of a model of market participants adopting various strategies; this allows testing for financial contagion under alternative...
Over the past two decades, financial market crises with similar features have occurred in different regions of the world. Unstable cross-market linkages during financial crises are referred to as financial contagion. We simulate the transmission of financial crises in the context of a model of market participants adopting various strategies; this allows testing for financial contagion under alternative...
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