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Minimum entropy filtering for multivariate stochastic systems with non-Gaussian noises
Guo, L; Wang, H
AbstractIn 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.
KeywordEntropy Optimization Hybrid Probability Non-gaussian Systems Nonlinear Systems Stochastic Filtering
WOS HeadingsScience & Technology ; Technology
Indexed BySCI
WOS Research AreaAutomation & Control Systems ; Engineering
WOS SubjectAutomation & Control Systems ; Engineering, Electrical & Electronic
WOS IDWOS:000236775600021
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Cited Times:73[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Affiliation1.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
Recommended Citation
GB/T 7714
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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