Stochastic model reconstruction from incomplete noisy measurements

Luchinsky, D. G. and Smelyanskiy, V. N. and Smith, J. (2005) Stochastic model reconstruction from incomplete noisy measurements. In: Unsolved problems of noise fluctuations. AIP Conference Proceedings . American Institute of Physics Inc., ITA, pp. 539-545. ISBN 0735402892

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A technique of reconstruction of both unknown state and unknown vector-field of stochastic nonlinear dynamical system is introduced. It is based on the application of the path-integral theory to the full Bayesian inference and extended Kalman filter theory. We illustrate the application of this technique to the reconstruction of the model of FitzHugh-Nagumo oscillator from the corrupted by noise measurements. A number of important unsolved problems is identified.

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22 Jun 2019 01:00
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21 Nov 2022 16:55