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Bayesian Estimation of Forgetting Factor in Adaptive Filtering and Change Detection

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F12%3A00379258" target="_blank" >RIV/67985556:_____/12:00379258 - isvavai.cz</a>

  • Result on the web

    <a href="http://library.utia.cas.cz/separaty/2012/AS/Smidl-bayesian" target="_blank" >http://library.utia.cas.cz/separaty/2012/AS/Smidl-bayesian</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Bayesian Estimation of Forgetting Factor in Adaptive Filtering and Change Detection

  • Original language description

    An adaptive filter is derived in a Bayesian framework from the assumption that the difference in the parameter distribution from one time to another is bounded in terms of the Kullback-Leibler divergence. We show an explicit link to the general conceptsof exponential forgetting, and outline the details for a linear Gaussian model with unknown parameter and covariance. We extend the problem to an unknown forgetting factor, where we provide a particular prior that allows for abrupt changes in forgetting,which is useful in change detection problems. The Rao-Blackwellized particle filter is used for the implementation, and its performance is assessed in a simulation of system with abrupt changes of parameters.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BD - Information theory

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GAP102%2F11%2F0437" target="_blank" >GAP102/11/0437: Control and Parameter Identification of AC Electric Drives under Critical Operating Conditions</a><br>

  • Continuities

    I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2012

  • Confidentiality

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

Data specific for result type

  • Article name in the collection

    Proceedings of the IEEE Statistical Signal Processing Workshop 2012

  • ISBN

    978-1-4673-0182-4

  • ISSN

  • e-ISSN

  • Number of pages

    4

  • Pages from-to

    197-200

  • Publisher name

    IEEE

  • Place of publication

    Ann Arbor

  • Event location

    Ann Arbor

  • Event date

    Aug 5, 2012

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article

    000309943200050