Towards an approach to stochastic adaptive control using the maximum entropy principle
作者:
GUY JUMARIE,
期刊:
International Journal of Systems Science
(Taylor Available online 1990)
卷期:
Volume 21,
issue 12
页码: 2621-2636
ISSN:0020-7721
年代: 1990
DOI:10.1080/00207729008910575
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The crucial problem in non-linear stochastic adaptive systems via the certainly equivalence principle is the estimation of the disturbances, which is essentially a non-linear estimation. The present paper focuses mainly on this aspect of adaptation, and the basic idea is of using the maximum entropy principle together with constraints suitably chosen. In this way one proposes a new technique for solving the Fokker-Plank-Kolmogorov equation and two new techniques for determining the conditional probability density of a random disturbance in a stochastic process. Then an adiabatic elimination is proposed, which applies when the system is slowly varying with respect to the external parameter. Finally, one shows how the dynamic equations of the state moments, combined with a linearization technique, can be utilized to analyse a broad class of non-linear stochastic systems involving random disturbances with small variances.
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