Publication detail

Regularized extended estimation with stabilized exponential forgetting

DOKOUPIL, J. VODA, A. VÁCLAVEK, P.

Original Title

Regularized extended estimation with stabilized exponential forgetting

Type

journal article in Web of Science

Language

English

Original Abstract

This technical note concerns the problem of variable regularized estimation of time-varying nonlinear systems from the Bayesian viewpoint. The questions of how to impose the posterior information being variably regularized and how to forget this information are carefully discussed. The estimator design adopts the strategy of the iterated Kalman filter but differs in that, instead of the separated moments of the linearized system, only the augmented covariance matrix is updated. To suppress obsolete information, a decision problem involving the Kullback-Leibler divergence is solved. The decision provides the best combination of a pair of time-evolution model hypotheses in terms of the geometric mean. As a result, exponential forgetting with the adaptively tuned factor is inserted into the estimation process. The regularization of the investigated statistics is induced through the processing of externally supplied information. The presented estimator allows for absolute discarding or, conversely, retention of external information produced in terms of the Normal-Wishart distribution.

Keywords

iterated Kalman filter; adaptive Bayesian estimation; variable forgetting factor;

Authors

DOKOUPIL, J.; VODA, A.; VÁCLAVEK, P.

Released

6. 12. 2017

Publisher

IEEE

ISBN

0018-9286

Periodical

IEEE TRANSACTIONS ON AUTOMATIC CONTROL

Year of study

62

Number

12

State

United States of America

Pages from

6513

Pages to

6520

Pages count

8

URL

http://ieeexplore.ieee.org/document/7828031/

BibTex

@article{BUT142171,
  author="Jakub {Dokoupil} and Alina {Voda} and Pavel {Václavek}",
  title="Regularized extended estimation with stabilized exponential forgetting",
  journal="IEEE TRANSACTIONS ON AUTOMATIC CONTROL",
  year="2017",
  volume="62",
  number="12",
  pages="6513--6520",
  doi="10.1109/TAC.2017.2656379",
  issn="0018-9286",
  url="http://ieeexplore.ieee.org/document/7828031/"
}