学术报告第201832期

报告题目：Dynamic relations in sampled processes

报 告 人：Anders Lindquist(院士)

报告时间：2018年6月20日 上午10:00—11:00

报告地点：南一楼中311室

报告摘要：

In this talk we present some recent joint work with Tryphon Georgiou. Linear dynamical relations that may exist in continuous-time, or at some natural sampling rate, are not directly discernable at reduced observational sampling rates. Indeed, at reduced rates, matrix-valued spectral densities of vector-valued time series have maximal rank and thereby cannot be used to ascertain potential dynamic relations between their entries. This hitherto undeclared source of inaccuracies appears to plague off-the-shelf identification techniques seeking remedy in hypothetical observational noise. In this talk we explain the exact relation between stochastic models at different sampling rates and show how to construct stochastic models at the finest time scale that data allows. We then point out that the correct number of dynamical dependences can only be ascertained by considering stochastic models at this finest time scale, which in general is faster than the observational sampling rate. Thus, the principle contribution of this work is to introduce the idea of lifting identified models to a finer time-scale before assessing their complexity.

报告人简介：

Anders Gunnar Lindquist (born November 21, 1942) is a Swedish applied mathematician and control theorist. He has made contributions to the theory of partial realization, stochastic modeling, estimation and control, and moment problems in systems and control. In particular, he is known for the discovery of the fast filtering algorithms for (discrete-time) Kalman filtering in the early 1970s, and his seminal work on the Separation Principle of Stochastic Optimal Control and, in collaborations with Giorgio Picci,[3] the Geometric Theory for Stochastic Realization.[4][5] Together with late Christopher I. Byrnes (dean of the School of Engineering & Applied Science at Washington University in St. Louis from 1991 to 2006) and Tryphon T. Georgiou (Vincentine Hermes-Luh Chair in Electrical Engineering at the University of Minnesota), he is one of the founder of the so-called Byrnes-Georgiou-Lindquist school. They pioneered a new moment-based approach for the solution of control and estimation problems with complexity constraints.

He has been Professor in three continents: America (University of Kentucky, USA), Europe (Royal Institute of Technology, Sweden) and Asia (Shanghai Jiao Tong University, China).