Approximate stationary density of the nonlinear dynamical systems excited with white noise

Author

Gunel, Serkan ; Savaci, F. Acar

Author_Institution

Dept. of Electr. & Electron. Eng., Dokuz Eylul Univ., Izmir, Turkey

fYear

2005

fDate

23-26 May 2005

Firstpage

4899

Abstract

In this paper, obtaining an approximate solution of the Fokker-Planck-Kolmogorov (FPK) equation using compactly supported functions has been discussed. With specific choice of such functions as piecewise multivariable polynomials which are supported on ellipsoidal regions, the parameters to be determined can be considerably decreased compared to the multi-Gaussian closure scheme. An example commonly considered in the literature has been analyzed and the proposed method has been compared with the multi-Gaussian closure scheme. The simulation results indicate that the new scheme is quite successful even if the driving noise is not white Gaussian, but has an exponential correlation function with small correlation time.

Keywords

Fokker-Planck equation; correlation methods; multivariable systems; nonlinear dynamical systems; parameter estimation; piecewise polynomial techniques; white noise; Fokker-Planck-Kolmogorov equation; approximate stationary density; compactly supported functions; ellipsoidal regions; exponential correlation function; nonlinear dynamical systems; parameter estimation; piecewise multivariable polynomials; white noise; Density functional theory; Differential equations; Integral equations; Nonlinear dynamical systems; Nonlinear equations; Partial differential equations; Polynomials; Probability density function; Stochastic resonance; White noise;

fLanguage

English

Publisher

ieee

Conference_Titel

Circuits and Systems, 2005. ISCAS 2005. IEEE International Symposium on

Print_ISBN

0-7803-8834-8

Type

conf

DOI

10.1109/ISCAS.2005.1465731

Filename

1465731