Risk sensitive identification of ARMA processes

MaRDI QIDQ4451698zbMATH OpenFDO

Authors László Gerencsér, György Michaletzky

Publication date 1 March 2004

zbMATH Keywords

ARMA processesmutual informationrisk-sensitive identification

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12)

Review text

The paper studies a recursive identification scheme for ARMA processes using a risk-sensitive performance index. It is shown that the LQG cost function of a suitably extended system provides the LEQG cost function of the original system and that the latter has an interpretation in terms of mutual information between stochastic processes. The weight matrix of the recursive identification algorithm is then computed both as the optimum of a multi-dimensional constrained minimization and by a direct procedure for solving the optimization problem. For the entire collection see [Zbl 1005.00024].

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Cited in

(1)

• Risk sensitive identification of linear stochastic systems

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