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Description
  • Linear state-space model with uniformly distributed innovations is considered. Its state and parameters are estimated under hard physical bounds. Off-line maximum a posteriori probability estimation reduces to linear programming. No approximation is required for sole estimation of either model parameters or states. The noise bounds are estimated in both cases. The algorithm is extended to: (i) on-line mode by estimating within a sliding window, and (ii) joint state and parameter estimation. This approach may be used as a starting point for full Bayesian treatment of distributions with restricted support.
  • Linear state-space model with uniformly distributed innovations is considered. Its state and parameters are estimated under hard physical bounds. Off-line maximum a posteriori probability estimation reduces to linear programming. No approximation is required for sole estimation of either model parameters or states. The noise bounds are estimated in both cases. The algorithm is extended to: (i) on-line mode by estimating within a sliding window, and (ii) joint state and parameter estimation. This approach may be used as a starting point for full Bayesian treatment of distributions with restricted support. (en)
Title
  • Towards Bayesian filtering on restricted support
  • Towards Bayesian filtering on restricted support (en)
skos:prefLabel
  • Towards Bayesian filtering on restricted support
  • Towards Bayesian filtering on restricted support (en)
skos:notation
  • RIV/67985556:_____/06:00041786!RIV10-MSM-67985556
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(1ET100750401), P(1M0572), P(2C06001), Z(AV0Z10750506)
http://linked.open...vai/riv/dodaniDat
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http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 504048
http://linked.open...ai/riv/idVysledku
  • RIV/67985556:_____/06:00041786
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • bayesian estimation; state model; restricted support (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [007112385A32]
http://linked.open...v/mistoKonaniAkce
  • Cambridge
http://linked.open...i/riv/mistoVydani
  • Cambridge
http://linked.open...i/riv/nazevZdroje
  • Proceedings of the NSSPW'06 Workshop
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http://linked.open...ichTvurcuVysledku
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http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
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  • Kárný, Miroslav
  • Šmídl, Václav
  • Pavelková, Lenka
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
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  • University of Cambridge
https://schema.org/isbn
  • 978-1-4244-0579-4
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