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

被引：3
|
作者：
Günel, S [1 ]
Savaci, FA [1 ]
机构：
[1] Dokuz Eylul Univ, Dept Elect & Elect Engn, Izmir, Turkey
来源：
2005 IEEE INTERNATIONAL SYMPOSIUM ON CIRCUITS AND SYSTEMS (ISCAS), VOLS 1-6, CONFERENCE PROCEEDINGS | 2005年
关键词：
D O I：
10.1109/ISCAS.2005.1465731
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
In this paper, obtaining approximate solution of 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 Multi-Gaussian Closure scheme [1]. 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.
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页码：4899 / 4902
页数：4
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