Geodesic
Entropy management of Gaussian stochastic systems
Journal of computational and engineering mathematics, Tome 4 (2017) no. 4, pp. 38-52

Voir la notice de l'article provenant de la source Math-Net.Ru

Two approaches to the entropy management of Gaussian stochastic system are considered. The first approach is scalar and implements the concept of "growth points". In this case the problem of maximizing (increasing) or minimizing (decreasing) the system entropy is solved. The second approach is the vector management, allowing to ensure effective changing of the entropy of two-dimensional vector, the components of which are randomness and self-organization entropies. For vector control an optimization problem on the conditional extremum is formulated. This problem can be solved using penalty methods. It is shown that the vector management of entropy for a number of cases has advantages compared to the scalar management. Examples of entropy models of real stochastic systems are provided.
Keywords: differential entropy, multidimensional random variable, Gaussian stochastic system, covariance matrix, management, randomness, self-organization. 
@article{JCEM_2017_4_4_a3,
     author = {A. N. Tyrsin and G. G. Gevorgyan},
     title = {Entropy management of {Gaussian} stochastic systems},
     journal = {Journal of computational and engineering mathematics},
     pages = {38--52},
     publisher = {mathdoc},
     volume = {4},
     number = {4},
     year = {2017},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/JCEM_2017_4_4_a3/}
}
TY  - JOUR
AU  - A. N. Tyrsin
AU  - G. G. Gevorgyan
TI  - Entropy management of Gaussian stochastic systems
JO  - Journal of computational and engineering mathematics
PY  - 2017
SP  - 38
EP  - 52
VL  - 4
IS  - 4
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/JCEM_2017_4_4_a3/
LA  - en
ID  - JCEM_2017_4_4_a3
ER  - 
%0 Journal Article
%A A. N. Tyrsin
%A G. G. Gevorgyan
%T Entropy management of Gaussian stochastic systems
%J Journal of computational and engineering mathematics
%D 2017
%P 38-52
%V 4
%N 4
%I mathdoc
%U http://geodesic.mathdoc.fr/item/JCEM_2017_4_4_a3/
%G en
%F JCEM_2017_4_4_a3
A. N. Tyrsin; G. G. Gevorgyan. Entropy management of Gaussian stochastic systems. Journal of computational and engineering mathematics, Tome 4 (2017) no. 4, pp. 38-52. http://geodesic.mathdoc.fr/item/JCEM_2017_4_4_a3/