The Stochastic Analysis of Dynamic Systems Moving through Random Fields.
MASSACHUSETTS INST OF TECH CAMBRIDGE LAB FOR INFORMATION AND DECISION SYSTEMS
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This paper considers dynamic systems that move along specified trajectories across random fields, where the field acts as a driving force to the dynamic system. For a specific class of random fields equations were developed for the evolution of the covariance of the state of the dynamic system, and in the special case in which the trajectory is a straight line path followed by a 180 14 turn i.e. an over and Back trajectory a Markovian model that involves a change in the dimension of the state after the turn were developed. For this case this report also discusses the estimation problem using recently developed results on real-time smoothing.