Detail publikačního výsledku

Design of variable exponential forgetting for estimation of the statistics of the Normal distribution

DOKOUPIL, J.; VÁCLAVEK, P.

Originální název

Design of variable exponential forgetting for estimation of the statistics of the Normal distribution

Anglický název

Design of variable exponential forgetting for estimation of the statistics of the Normal distribution

Druh

Stať ve sborníku v databázi WoS či Scopus

Originální abstrakt

A recursive algorithm for estimating the statistics of the Normal distribution is designed, making it adaptive in the sense that the forgetting factor is driven by data. A mechanism to suppress obsolete information is proposed, following the principles of Bayesian decision-making. Specifically, the best combination of two time-evolution model hypotheses in terms of the geometric mean is performed. The first hypothesis assumes no change in the parameter evolution, while the second one assumes that all parameter changes are equally admitted. In order to provide data-driven forgetting, complementary probabilities assigned to each hypothesis are determined as the maximizers of the decision problem. Simulations, including a performance comparison with a recently proposed self-tuning estimator, are presented.

Anglický abstrakt

A recursive algorithm for estimating the statistics of the Normal distribution is designed, making it adaptive in the sense that the forgetting factor is driven by data. A mechanism to suppress obsolete information is proposed, following the principles of Bayesian decision-making. Specifically, the best combination of two time-evolution model hypotheses in terms of the geometric mean is performed. The first hypothesis assumes no change in the parameter evolution, while the second one assumes that all parameter changes are equally admitted. In order to provide data-driven forgetting, complementary probabilities assigned to each hypothesis are determined as the maximizers of the decision problem. Simulations, including a performance comparison with a recently proposed self-tuning estimator, are presented.

Klíčová slova

estimation; forgetting factor; Kullback-Leibler divergence; Normal distribution

Klíčová slova v angličtině

estimation; forgetting factor; Kullback-Leibler divergence; Normal distribution

Autoři

DOKOUPIL, J.; VÁCLAVEK, P.

Rok RIV

2017

Vydáno

29.12.2016

Nakladatel

IEEE

ISBN

978-1-5090-1837-6

Kniha

55th Conference on Decision and Control

Strany od

1179

Strany do

1184

Strany počet

6

URL

http://ieeexplore.ieee.org/document/7798426/

BibTex

@inproceedings{BUT130677,
  author="Jakub {Dokoupil} and Pavel {Václavek}",
  title="Design of variable exponential forgetting for estimation of the statistics of the Normal distribution",
  booktitle="55th Conference on Decision and Control",
  year="2016",
  pages="1179--1184",
  publisher="IEEE",
  doi="10.1109/CDC.2016.7798426",
  isbn="978-1-5090-1837-6",
  url="http://ieeexplore.ieee.org/document/7798426/"
}