Continuous-Time Averaged Models of Discrete-Time Stochastic Systems: Survey and Open Problems

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

8 Scopus citations

Abstract

A survey of a number of papers devoted to continuous-time modeling of discrete-time stochastic systems is given. It is concluded that, although different approaches to averaged (approximate) models justifying are in use, the procedures of building the averaged (approximate) models are similar in different papers. In addition to the deterministic (ODE) model some stochastic continuous-time models described by SDE are introduced. A new result concerning evaluation of the ODE model accuracy over the infinite time interval under partial stability condition is presented. Applications in adaptation, optimization and control are discussed.

Original languageEnglish
Title of host publication2011 50TH IEEE CONFERENCE ON DECISION AND CONTROL AND EUROPEAN CONTROL CONFERENCE (CDC-ECC)
PublisherIEEE Canada
Pages2076-2081
Number of pages6
StatePublished - 2011
Event50th IEEE Conference of Decision and Control (CDC)/European Control Conference (ECC) - Orlando
Duration: 12 Dec 201115 Dec 2011

Publication series

NameIEEE Conference on Decision and Control
PublisherIEEE
ISSN (Print)0743-1546

Conference

Conference50th IEEE Conference of Decision and Control (CDC)/European Control Conference (ECC)
CityOrlando
Period12/12/1115/12/11

Keywords

  • ALGORITHMS
  • APPROXIMATIONS
  • CONVERGENCE
  • DYNAMICS
  • ERROR

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