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| A qth-order Tree-based Method for Multiscale Modeling of Stochastic Dynamic Processes |
| Wen Cheng-lin①②; Zhang Yan-feng②; Shi Jun-jie② |
| ①College of Automation,Hangzhou Dianzi University, Hangzhou 310018, China;②College of Computer and Information Engineering,Henan University, Kaifeng 475001, China |
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Abstract In this paper, by using the advantage of an extremely efficient and highly parallelizable algorithm deriving from the multiscaie stochastic model to deal with a lot of practical problem, a general qth-order tree-based method for multiscale modeling of stochastic dynamic processes is developed. Firstly, using the property of conditional independence of Markov processes, a qth-order tree-based method for multiscale representation of a class of process is presented. Secondly, the representation forms of the parameters in the model, such as the state transition matrix, the disturbance matrix, the initial state and the corresponding covariance are deduced by example in detail based on
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Received: 20 April 2004
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2005, Vol. 27 
