Title :
Digital simulation of multidimensional Gauss-Markov random processes
Author_Institution :
Analytic Sciences Corporation, Winchester, MA, USA
fDate :
2/1/1969 12:00:00 AM
Abstract :
A general technique is presented to simulate on a digital computer a multidimensional stationary or nonstationary Gauss-Markov random process of specified autocorrelation function. The choice of a suitable time step is also discussed. The results are of interest in the simulation studies of systems which are forced by random inputs, e.g, control and communication systems.
Keywords :
Gaussian processes; Markov processes; Autocorrelation; Communication system control; Computational modeling; Computer simulation; Control system synthesis; Digital simulation; Force control; Gaussian processes; Multidimensional systems; Random processes;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1969.1099090
