### Optimization and Systems Theory Seminar

Friday, February 8, 2002, 11.00-12.00, Room 3721, Lindstedtsvägen 25

** Professor
György Michaletzky **

Deptartment of Probability Theory and Statistics

Eötvös Loránd University

Budapest, Hungary

E-mail: michgy@ludens.elte.hu

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Risk sensitive identification of ARMA processes

In this talk we consider the problem of recursive identification of
ARMA processes using risk-sensitive identification criterion. Applying
stochastic realization theory and the bounded real lemma we derive an
alternative expression for the LEQG cost function. We prove, that the
LQG functional of a properly augmented system gives the LEQG
functional of the original system. The optimal weight
matrix is computed as the optimum of a multi-dimensional
constrained minimization.

Calendar of seminars

*Last update: February 4, 2002 by
Anders Forsgren,
anders.forsgren@math.kth.se.
*