Identification of chaotic systems with hidden variables (modified Bock’s algorithm)

Boris P. Bezruchko, Dmitry A. Smirnov and Ilya V. Sysoev

Chaos, Solitons & Fractals, 2006, vol. 29, issue 1, 82-90

Abstract: We address the problem of estimating parameters of chaotic dynamical systems from a time series in a situation when some of state variables are not observed and/or the data are very noisy. Using specially developed quantitative criteria, we compare performance of the original multiple shooting approach (Bock’s algorithm) and its modified version. The latter is shown to be significantly superior for long chaotic time series. In particular, it allows to obtain accurate estimates for much worse starting guesses for the estimated parameters.

Date: 2006
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:29:y:2006:i:1:p:82-90

DOI: 10.1016/j.chaos.2005.08.204

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