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Minimum entropy filtering for multivariate stochastic systems with non-Gaussian noises
Guo, L; Wang, H
2006-04-01
发表期刊IEEE TRANSACTIONS ON AUTOMATIC CONTROL
卷号51期号:4页码:695-700
文章类型Article
摘要In this note, a minimum entropy filtering algorithm is presented for a class of multivariate dynamic stochastic systems, which are represented by a set of time-varying difference equations and are subjected to the multivariate non-Gaussian stochastic inputs. Several new concepts including the hybrid random vector, hybrid probability and hybrid entropy are firstly established to describe the probabilistic property of the estimation errors. New relationships are provided between the probability density functions (PDF's) of the multivariate stochastic input and output for different mapping cases. Recursive algorithms are then proposed to design the real-time sub-optimal filter so that the hybrid entropy of the estimation error can be minimized. Finally, an improved algorithm is provided through the on-line tuning of the weighting matrices so as to guarantee the local stability of the error system.
关键词Entropy Optimization Hybrid Probability Non-gaussian Systems Nonlinear Systems Stochastic Filtering
WOS标题词Science & Technology ; Technology
收录类别SCI
语种英语
WOS研究方向Automation & Control Systems ; Engineering
WOS类目Automation & Control Systems ; Engineering, Electrical & Electronic
WOS记录号WOS:000236775600021
引用统计
被引频次:71[WOS]   [WOS记录]     [WOS相关记录]
文献类型期刊论文
条目标识符http://ir.ia.ac.cn/handle/173211/9351
专题09年以前成果
作者单位1.SE Univ, Res Inst Automat, Nanjing 210096, Peoples R China
2.Univ Manchester, Control Syst Ctr, Manchester M60 1QD, Lancs, England
3.Chinese Acad Sci, Inst Automat, Beijing 100080, Peoples R China
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Guo, L,Wang, H. Minimum entropy filtering for multivariate stochastic systems with non-Gaussian noises[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL,2006,51(4):695-700.
APA Guo, L,&Wang, H.(2006).Minimum entropy filtering for multivariate stochastic systems with non-Gaussian noises.IEEE TRANSACTIONS ON AUTOMATIC CONTROL,51(4),695-700.
MLA Guo, L,et al."Minimum entropy filtering for multivariate stochastic systems with non-Gaussian noises".IEEE TRANSACTIONS ON AUTOMATIC CONTROL 51.4(2006):695-700.
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