Probabilistic State Space Models – A Theoretical Framework with Practical Relevance

Abstract

Corresponding to the modeling purpose discrete models can be defined using very different approaches: For a precise description and thorough analysis one of the many different mathematical descriptions can be applied, while a working practitioner often will describe a model within a concrete simulation environment. To demonstrate that mathematical models are useful for practical purposes as well, we will present a simple state-space model for a stochastic discrete system. By means of a concrete example we will show, how the use of this model makes the practical modeling process much easier and leads to a more concise concrete implementation.