Regularized extended estimation with stabilized exponential forgetting
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26620%2F17%3APU125709" target="_blank" >RIV/00216305:26620/17:PU125709 - isvavai.cz</a>
Result on the web
<a href="http://ieeexplore.ieee.org/document/7828031/" target="_blank" >http://ieeexplore.ieee.org/document/7828031/</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1109/TAC.2017.2656379" target="_blank" >10.1109/TAC.2017.2656379</a>
Alternative languages
Result language
angličtina
Original language name
Regularized extended estimation with stabilized exponential forgetting
Original language description
This technical note concerns the problem of variable regularized estimation of time-varying nonlinear systems from the Bayesian viewpoint. The questions of how to impose the posterior information being variably regularized and how to forget this information are carefully discussed. The estimator design adopts the strategy of the iterated Kalman filter but differs in that, instead of the separated moments of the linearized system, only the augmented covariance matrix is updated. To suppress obsolete information, a decision problem involving the Kullback-Leibler divergence is solved. The decision provides the best combination of a pair of time-evolution model hypotheses in terms of the geometric mean. As a result, exponential forgetting with the adaptively tuned factor is inserted into the estimation process. The regularization of the investigated statistics is induced through the processing of externally supplied information. The presented estimator allows for absolute discarding or, conversely, retention of external information produced in terms of the Normal-Wishart distribution.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
20205 - Automation and control systems
Result continuities
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)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
ISSN
0018-9286
e-ISSN
1558-2523
Volume of the periodical
62
Issue of the periodical within the volume
12
Country of publishing house
US - UNITED STATES
Number of pages
8
Pages from-to
6513-6520
UT code for WoS article
000417090000041
EID of the result in the Scopus database
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