Design of variable exponential forgetting for estimation of the statistics of the Normal-Wishart distribution

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26620%2F16%3APU120702" target="_blank" >RIV/00216305:26620/16:PU120702 - isvavai.cz</a>

Result on the web

<a href="http://ieeexplore.ieee.org/document/7810676/" target="_blank" >http://ieeexplore.ieee.org/document/7810676/</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1109/ECC.2016.7810676" target="_blank" >10.1109/ECC.2016.7810676</a>

Result language

angličtina

Original language name

Design of variable exponential forgetting for estimation of the statistics of the Normal-Wishart distribution

Original language description

This paper addresses the adaptive estimation problem of time-varying systems in the Bayesian framework. The version of exponential forgetting with the variable factor is derived by solving the decision problem where the Kullback-Leibler divergence is used. This divergence is applied to evaluate the distance of two antagonistic model hypotheses from the model of parameter variations. The first hypothesis assumes no parameter changes, while the second one admits that the parameters may arbitrarily evolve throughout the parameter space. In this respect, the forgetting factor is interpreted as the probability that the first hypothesis meets the reality. This concept brings another technique into the class of self-tuned forgetting strategies for the discarding of obsolete information. The developed concept of forgetting is designed to complement the data learning process propagating the statistics of the Normal-Wishart distribution.

Czech name

—

Czech description

—

Type

D - Article in proceedings

CEP classification

—

OECD FORD branch

10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Project

<a href="/en/project/LQ1601" target="_blank" >LQ1601: CEITEC 2020</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

European Control Conference

ISBN

978-1-5090-2591-6

ISSN

—

e-ISSN

—

Number of pages

6

Pages from-to

2565-2570

Publisher name

IEEE

Place of publication

Neuveden

Event location

Aalborg

Event date

Jun 29, 2016

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

000392695300423