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Topic:
Stochastic differential equations with Simulink?
Replies:
4
Last Post:
Aug 29, 2013 8:15 AM




Re: Stochastic differential equations with Simulink?
Posted:
Aug 6, 2013 10:36 AM


> I*A''(t)=m*g*h*A(t)[P1*A(t)+D1*A'(t)+f1(A(td))+f2(A'(td))]+s*n(t), > > f1(A(td))=P2*A(td) & f2(A'(td))=D2*A'(td), when A(td)*[A'(td)a*A(td)]>0 and > f1(A(td))=0 & f2(A'(td))=0 otherwise.
Isn't the above just a nonlinear ODE with Gaussian noise? In which case it's relatively simple to implement.
> > x(n+1)=x(n)+f(x(n),x(nk))dt+s*n(t)*sqrt(dt) > k=d/dt. The initial state is x0=[A(0),A'(0)]=[0.01,0].
I don't understand the term k=d/dt (a time delay specified as a partial derivative?), but in general if you use a fixed step solver then you know dt in advance and the sqrt(dt) term is just a (constant) modifier to the variance of the noise.
Phil.



