Incremental Stochastic Sampled-Data Models
This chapter extends the notion of incremental models (presented in Chap. 4) to the stochastic case. In particular, we discuss the advantages of representing in incremental form the sampled-data models for stochastic systems so as to obtain a well defined limit as the sampling period approaches zero.
KeywordsPower Spectral Density Shift Operator Nyquist Frequency Lyapunov Equation Incremental Form
The following two books give a complete background to incremental models for stochastic linear systems
- Feuer A, Goodwin GC (1996) Sampling in digital signal processing and control. Birkhäuser, Boston Google Scholar
- Middleton RH, Goodwin GC (1990) Digital control and estimation. A unified approach. Prentice Hall, Englewood Cliffs Google Scholar