A Kullback-Leibler distance approach to system identification
نویسندگان
چکیده
منابع مشابه
A Kullback-leibler Distance Approach to System Identification
The use of probability in system identification is shown to be equivalent to measuring Kullback-Leibler distance between the actual (empirical) and model distributions of data. When data are not known completely (being compressed, quantized, aggregated, missing etc.), the minimum distance approach can be seen as an asymptotic approximation of probabilistic inference. A class of problems is poin...
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We define a new distance measure the resistor-average distance between two probability distributions that is closely related to the Kullback-Leibler distance. While the KullbackLeibler distance is asymmetric in the two distributions, the resistor-average distance is not. It arises from geometric considerations similar to those used to derive the Chernoff distance. Determining its relation to we...
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ژورنال
عنوان ژورنال: Annual Reviews in Control
سال: 1996
ISSN: 1367-5788
DOI: 10.1016/s1367-5788(97)00010-2