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.