Geodesic
Information estimates in the problem blind identification of dynamic systems
The Bulletin of Irkutsk State University. Series Mathematics, Tome 6 (2013) no. 4, pp. 23-30 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

The convergence and stability problems of the Bayesian estimations are considered for identification of stochastic control systems. The main tools to prove the convergence is the information measure of the mismatch between the given distribution and the estimation. As a measure, the so-called information number of Kulbaka–Leiblera is taken. The convergence of the estimation of the transitive function to the process to the nonstationary transitive function is established.
Keywords: Bayesian estimation, information number.
Mots-clés : identification 
@article{IIGUM_2013_6_4_a1,
     author = {V. V. Karelin},
     title = {Information estimates in the problem blind identification of dynamic systems},
     journal = {The Bulletin of Irkutsk State University. Series Mathematics},
     pages = {23--30},
     year = {2013},
     volume = {6},
     number = {4},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/IIGUM_2013_6_4_a1/}
}
TY  - JOUR
AU  - V. V. Karelin
TI  - Information estimates in the problem blind identification of dynamic systems
JO  - The Bulletin of Irkutsk State University. Series Mathematics
PY  - 2013
SP  - 23
EP  - 30
VL  - 6
IS  - 4
UR  - http://geodesic.mathdoc.fr/item/IIGUM_2013_6_4_a1/
LA  - ru
ID  - IIGUM_2013_6_4_a1
ER  - 
%0 Journal Article
%A V. V. Karelin
%T Information estimates in the problem blind identification of dynamic systems
%J The Bulletin of Irkutsk State University. Series Mathematics
%D 2013
%P 23-30
%V 6
%N 4
%U http://geodesic.mathdoc.fr/item/IIGUM_2013_6_4_a1/
%G ru
%F IIGUM_2013_6_4_a1
V. V. Karelin. Information estimates in the problem blind identification of dynamic systems. The Bulletin of Irkutsk State University. Series Mathematics, Tome 6 (2013) no. 4, pp. 23-30. http://geodesic.mathdoc.fr/item/IIGUM_2013_6_4_a1/

[1] E. B. Dynkin, A. A. Yushkevich, Upravlyaemye markovskie protsessy i ikh prilozheniya, Nauka, M., 1975, 338 pp. | MR

[2] V. V. Karelin, “Adaptiveoptimal strategies in controlled Markov processes”, Advances in Optimization, Proceedings of 6-th French-German Colloquium of Optimization, FEG, 1991, 518–525

[3] V. V. Karelin, “Odin podkhod k zadache otsenki parametrov dinamicheskoi sistemy v usloviyakh neopredelennosti”, Vestn. S.-Peterb. un-ta. Ser. 10, 2012, no. 4, 31–36