In this paper we solve the basic fractional analogue of the classical infinite time horizon linear-quadratic Gaussian regulator problem. For a completely observable controlled linear system driven by a fractional Brownian motion, we describe explicitely the optimal control policy which minimizes an asymptotic quadratic performance criterion.
A method is presented to compute the activity of a radioactive source. The principle of the method is based on the tuning of b, the time constant of the RC circuit of the detector with l being the rate of emission of the source, using a statistical argument.The stochastical process involved refers to the distribution of the following random voltage:Vt = ∑(0 < ti ≤ t) Yi c-b(t - ti)where the ti are Poisson dates of emission and the Yi are random or deterministic pulse heights. The case of...
The purpose of this paper is to prove the minimum variance property of a new class of 2D, recursive, finite-dimensional filters. The filtering algorithms are derived from general basic assumptions underlying the stochastic modelling of an image as a 2D gaussian random field. An appealing feature of the proposed algorithms is that the image pixels are estimated one at a time; this makes it possible to save computation time and memory requirement with respect to the filtering procedures based on strip...
Fast filtering algorithms arising from linear filtering and estimation are nonlinear dynamical systems whose initial values are the statistics of the observation process. In this paper, we give a fairly complete description of the phase portrait for such nonlinear dynamical systems, as well as a special type of naturally related matrix Riccati equation.
The aim of this work is to analyze suitability of existing internet multimedia storage services to use as a covert (steganographic) transmission channel. After general overview we focus specifically on the YouTube service. In particular, we study the feasibility of the recently proposed new steganographic technique [6] of hiding information directly in the structure of the mp4-encoded video file. Our statistical analysis of the set of 1000 video files stored by this service show the practical limitations...
The problem of on-line identification of non-stationary delay systems is considered. The dynamics of supervised industrial processes are usually modeled by ordinary differential equations. Discrete-time mechanizations of continuous-time process models are implemented with the use of dedicated finite-horizon integrating filters. Least-squares and instrumental variable procedures mechanized in recursive forms are applied for simultaneous identification of input delay and spectral parameters of the...