Minimum Expected Relative Entropy Principle

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F20%3A00525233" target="_blank" >RIV/67985556:_____/20:00525233 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.23919/ECC51009.2020.9143856" target="_blank" >http://dx.doi.org/10.23919/ECC51009.2020.9143856</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.23919/ECC51009.2020.9143856" target="_blank" >10.23919/ECC51009.2020.9143856</a>

Result language

angličtina

Original language name

Minimum Expected Relative Entropy Principle

Original language description

Stochastic filtering estimates a timevarying (multivariate) parameter (a hidden variable) from noisy observations. It needs both observation and parameter evolution models. The latter is often missing or makes the estimation too complex. Then, the axiomatic minimum relative entropy (MRE) principle completes the posterior probability density (pd) of the parameter. The MRE principle recommends to modify a prior guess of the constructed pd to the smallest extent enforced by new observations. The MRE principle does not deal with a generic uncertain prior guess. Such uncertainty arises, for instance, when the MRE principle is used recursively. The paper fills this gap. The proposed minimum expected relative entropy (MeRE) principle: (a) makes Bayesian estimation less sensitive to the choice of the prior pd. (b) provides a stabilised parameter tracking with a data-dependent forgetting that copes with abrupt parameter changes. (c) applies in all cases exploiting MRE, for instance, in stochastic modelling.

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/LTC18075" target="_blank" >LTC18075: Distributed rational decision making: cooperation aspects</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2020

Confidentiality

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

Article name in the collection

Proceedings of the 18th European Control Conference (ECC)

ISBN

978-390714401-5

ISSN

—

e-ISSN

—

Number of pages

6

Pages from-to

35-40

Publisher name

European Union Control Association (EUCA)

Place of publication

Saint Petersburg

Event location

Saint Petersburg

Event date

May 12, 2020

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

000613138000007