Detail publikace

On Bayesian Decision-Making and Approximation of Probability Densities

PAPEŽ, M.

Originální název

On Bayesian Decision-Making and Approximation of Probability Densities

Typ

článek ve sborníku ve WoS nebo Scopus

Jazyk

angličtina

Originální abstrakt

An approximation of a true, unknown, posterior probability density (pd) representing some real state-space systém is presented as Bayesian decision-making among a set of possible descriptions (models). The decision problem is carefully defined on its basic elements and it is shown how it leads to the use of the Kullback-Leibler (KL) divergence for evaluating a loss of information between the unknown posterior pd and its approximation. The resulting algorithm is derived on a general level, allowing specific algorithms to be designed according to a selected class of the probability distributions. A concrete example of the algorithm is proposed for the Gaussian case. An experiment is performed assuming that none of the possible descriptions is precisely identical with the unknown system.

Klíčová slova

Bayesian inference, Bayesian filtering, Bayesian decision-making, probability density, Kullback-Leibler divergence.

Autoři

PAPEŽ, M.

Rok RIV

2015

Vydáno

9. 7. 2015

Nakladatel

Institute of Electrical and Electronics Engineers

Místo

Prague

ISBN

978-1-4799-8498-5

Kniha

38th International Conference on Telecommunications and Signal Processing (TSP)

ISSN

NEUVEDENO

Strany od

499

Strany do

503

Strany počet

5

URL

http://ieeexplore.ieee.org/xpl/articleDetails.jsp?arnumber=7296313

BibTex

@inproceedings{BUT114323,
  author="Milan {Papež}",
  title="On Bayesian Decision-Making and Approximation of Probability Densities",
  booktitle="38th International Conference on Telecommunications and Signal Processing (TSP)",
  year="2015",
  pages="499--503",
  publisher="Institute of Electrical and Electronics Engineers",
  address="Prague",
  doi="10.1109/TSP.2015.7296313",
  isbn="978-1-4799-8498-5",
  url="http://ieeexplore.ieee.org/xpl/articleDetails.jsp?arnumber=7296313"
}