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Use of Kullback–Leibler divergence for forgetting

SYSNO ASEP	0315684
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Ostatní články
Title	Use of Kullback–Leibler divergence for forgetting
Title	Použití Kullback–Leibler divergence pro zapomínání
Author(s)	Kárný, Miroslav (UTIA-B)_{RID, ORCID} Andrýsek, Josef (UTIA-B)
Source Title	International Journal of Adaptive Control and Signal Processing. - : Wiley - ISSN 0890-6327 Roč. 23, č. 1 (2009), s. 1-15
Number of pages	15 s.
Publication form	www - www
Language	eng - English
Country	GB - United Kingdom
Keywords	Bayesian estimation ; Kullback–Leibler divergence ; functional approximation of estimation ; parameter tracking by stabilized forgetting ; ARX model
Subject RIV	BB - Applied Statistics, Operational Research
R&D Projects	2C06001 GA MŠMT - Ministry of Education, Youth and Sports (MEYS)
	1M0572 GA MŠMT - Ministry of Education, Youth and Sports (MEYS)
	GA102/08/0567 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
DOI	10.1002/acs.1080
Annotation	Non-symmetric Kullback–Leibler divergence (KLD) measures proximity of probability density functions (pdfs). Bernardo (Ann. Stat. 1979; 7(3):686–690) had shown its unique role in approximation of pdfs. The order of the KLD arguments is also implied by his methodological result. Functional approximation of estimation and stabilized forgetting, serving for tracking of slowly varying parameters, use the reversed order. This choice has the pragmatic motivation: recursive estimator often approximates the parametric model by a member of exponential family (EF) as it maps prior pdfs from the set of conjugate pdfs (CEF) back to the CEF. Approximations based on the KLD with the reversed order of arguments preserves this property. In the paper, the approximation performed within the CEF but with the proper order of arguments of the KLD is advocated. It is applied to the parameter tracking and performance improvements are demonstrated.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2009

Number of the records: 1