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Paper Abstract and Keywords
Presentation 2022-09-29 11:15
State estimation for continuous-time stochastic systems by holonomic gradient method
Riku Yamamoto, Jun Ohkubo (Saitama Univ.) NC2022-35
Abstract (in Japanese) (See Japanese page) 
(in English) The holonomic gradient method efficiently gives us numerical values of integrals with parameters, which could be a powerful tool in various topics such as data analysis. Recent works show applications of the holonomic gradient method to a discrete-time stochastic system with nonlinear properties. In this manuscript, we propose a scheme to apply the holonomic gradient method to a continuous-time stochastic system; we approximate the distribution of a system state to a gaussian form, whose mean and variance are functions of the previous state. Its mean and variance are approximated with the Taylor expansion. A numerical example with Ornstein-Uhlenbeck processes shows the validity of our proposed method.
Keyword (in Japanese) (See Japanese page) 
(in English) holonomic gradient method / stochastic system / stochastic differential equation / / / / /  
Reference Info. IEICE Tech. Rep., vol. 122, no. 195, NC2022-35, pp. 11-15, Sept. 2022.
Paper # NC2022-35 
Date of Issue 2022-09-22 (NC) 
ISSN Online edition: ISSN 2432-6380
Copyright
and
reproduction		 All rights are reserved and no part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Notwithstanding, instructors are permitted to photocopy isolated articles for noncommercial classroom use without fee. (License No.: 10GA0019/12GB0052/13GB0056/17GB0034/18GB0034)
Download PDF NC2022-35

Conference Information
Committee NC MBE  
Conference Date 2022-09-29 - 2022-09-30 
Place (in Japanese) (See Japanese page) 
Place (in English) Tohoku Univ. 
Topics (in Japanese) (See Japanese page) 
Topics (in English) Brain Architecture, NC, ME 
Paper Information
Registration To NC 
Conference Code 2022-09-NC-MBE 
Language Japanese 
Title (in Japanese) (See Japanese page) 
Sub Title (in Japanese) (See Japanese page) 
Title (in English) State estimation for continuous-time stochastic systems by holonomic gradient method 
Sub Title (in English)  
Keyword(1) holonomic gradient method  
Keyword(2) stochastic system  
Keyword(3) stochastic differential equation  
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1st Author's Name Riku Yamamoto  
1st Author's Affiliation Saitama University (Saitama Univ.)
2nd Author's Name Jun Ohkubo  
2nd Author's Affiliation Saitama University (Saitama Univ.)
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Speaker Author-1 
Date Time 2022-09-29 11:15:00 
Presentation Time 25 minutes 
Registration for NC 
Paper # NC2022-35 
Volume (vol) vol.122 
Number (no) no.195 
Page pp.11-15 
#Pages 5 
Date of Issue 2022-09-22 (NC) 

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