User:EGM6341.S11.team5.cavalcanti/Mtg27

Mtg 25: Mon, 28 Feb 11 [[media:Nm1.s11.mtg25.djvu | Page 25-1]] - Course feedback: Comments (see billboard) Linear State Space Model with radom noise Reference: Meyn, Markov chains and stochastic stability, 2009, pp.8-10. Deterministic linear control model (LCM) (Discrete)
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$$  \displaystyle \underline{x}_{k+1} = \underline{F} \ \underline{x}_{k} + \underline{G} \ \underline{u}_{k+1} $$     (1)  Data: $$\underline{F}, \underline{G}, \underline{x}_{0}, \left\{ \underline{u}_{0}, \underline{u}_{1}, ... \right\}$$ Find: $$\left\{x_{j}, j=1,2,...\right\}$$using (1). Linear State Space Model (LSSM) with random noise (LSSMRN) LSSM:
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$$  \displaystyle \underline{x}_{k+1}=\underline{F} \ \underline{x}_{K} $$     (2) [[media:Nm1.s11.mtg25.djvu | Page 25-2]] LSSMRN: $$\underline{x}_{k+1}=\underline{F} \ \underline{x}_{k} + \underline{G} \ \underline{w}_{k+1}$$ (based on LCM) Data: F, G , x 0, { W j, j=0, 1, 2, ...} sequence of random p X 1 matrices characterized by a given pdf. Find: { x j, j=1, 2, ...}
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