Regularized estimation with variable exponential forgetting
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26620%2F20%3APU138218" target="_blank" >RIV/00216305:26620/20:PU138218 - isvavai.cz</a>
Result on the web
<a href="https://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=9304385" target="_blank" >https://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=9304385</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1109/CDC42340.2020.9304385" target="_blank" >10.1109/CDC42340.2020.9304385</a>
Alternative languages
Result language
angličtina
Original language name
Regularized estimation with variable exponential forgetting
Original language description
The real-time estimation of normal regression-type models with unknown time-varying parameters is considered and discussed from the Bayesian perspective. A novel tracking technique combining the variable regularization approach with the forgetting operation is derived and elaborated into algorithmic details. The regularization of the parameter covariance is accomplished by incorporating soft equality constraints on the regression parameters into the learning procedure. The resultant procedure is designed to smooth the parameter estimate, preventing it from changing too rapidly. Moreover, the form of the constraints guarantees a minimal amount of information about the parameter estimate, which makes the estimator robust with respect to poor system excitation. The forgetting of obsolete information is provided in two different parameterization options and is performed automatically in a way that complies with the degree of the process nonstationarity. The whole concept preserves the selfreproducibility of the statistics of the normal-Wishart distribution.
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
20205 - Automation and control systems
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
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
59th Conference on Decision and Control
ISBN
978-1-7281-7446-4
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
312-318
Publisher name
IEEE
Place of publication
New York
Event location
Jeju Island, Republic of Korea
Event date
Dec 14, 2020
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000717663400040