Design of variable exponential forgetting for estimation of the statistics of the Normal distribution
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26620%2F16%3APU121460" target="_blank" >RIV/00216305:26620/16:PU121460 - isvavai.cz</a>
Result on the web
<a href="http://ieeexplore.ieee.org/document/7798426/" target="_blank" >http://ieeexplore.ieee.org/document/7798426/</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1109/CDC.2016.7798426" target="_blank" >10.1109/CDC.2016.7798426</a>
Alternative languages
Result language
angličtina
Original language name
Design of variable exponential forgetting for estimation of the statistics of the Normal distribution
Original language description
A recursive algorithm for estimating the statistics of the Normal distribution is designed, making it adaptive in the sense that the forgetting factor is driven by data. A mechanism to suppress obsolete information is proposed, following the principles of Bayesian decision-making. Specifically, the best combination of two time-evolution model hypotheses in terms of the geometric mean is performed. The first hypothesis assumes no change in the parameter evolution, while the second one assumes that all parameter changes are equally admitted. In order to provide data-driven forgetting, complementary probabilities assigned to each hypothesis are determined as the maximizers of the decision problem. Simulations, including a performance comparison with a recently proposed self-tuning estimator, are presented.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
55th Conference on Decision and Control
ISBN
978-1-5090-1837-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
1179-1184
Publisher name
IEEE
Place of publication
neuveden
Event location
Las Vegas
Event date
Dec 12, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000400048101057