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

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.