DocumentCode
799400
Title
Digital simulation of multidimensional Gauss-Markov random processes
Author
Mehra, Rajesh
Author_Institution
Analytic Sciences Corporation, Winchester, MA, USA
Volume
14
Issue
1
fYear
1969
fDate
2/1/1969 12:00:00 AM
Firstpage
112
Lastpage
113
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;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1969.1099090
Filename
1099090
Link To Document