On the estimation of stochastic sensitivity for non-linear dynamical systems in state estimation problems†

Abstract

This paper consists of two main parts. Recognizing the existence of identification errors due to variations of system parameters, the first part is devoted to the verification of the existence of a unique continuous solution of a non-linear vector stochastic differential equation with a random parameter and to the establishment of the stochastic sensitivity equation. Both the a and β-stochastic sensitivity equations are established through the precise definition of stochastic sensitivity.

The remainder of this paper deals with evaluation of quantitative aspects of the sensitivity in the state estimation by using the stochastic sensitivity equation.

Notes

†Communicated by Dr. A. T. Fuller.