IEEE - Institute of Electrical and Electronics Engineers, Inc. - Numerical methods for stochastic differential equations in the Stiefel manifold made simple

2016 IEEE 55th Conference on Decision and Control (CDC)

Author(s): Goran Marjanovic ; Marc J. Piggott ; Victor Solo
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 December 2016
Conference Location: Las Vegas, NV, USA
Conference Date: 12 December 2016
Page(s): 2,853 - 2,860
ISBN (Electronic): 978-1-5090-1837-6
ISBN (DVD): 978-1-5090-1844-4
DOI: 10.1109/CDC.2016.7798694
Regular:

Several engineering applications require numerical schemes for the simulation of stochastic differential equations (SDEs) on the Stiefel manifold of n × p real matrices with orthonormal columns (n... View More

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