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A duality relationship for regular conditional relative entropy

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Date

2005

Authors

Xie, Li
Ugrinovskii, Valery A.
Petersen, Ian R.

Journal Title

Journal ISSN

Volume Title

Publisher

IFAC Secretariat

Access Statement

Research Projects

Organizational Units

Journal Issue

Abstract

in this paper, we present a duality relationship between regular conditional free energy and regular conditional relative entropy given a sub-σ-algebra. This is achieved by using a relation between the Radon-Nikodym derivative of probability measures and that of regular conditional probability measures. Some properties of the regular conditional relative entropy under consideration are also given. The duality relation can be applied in a finite horizon robust state estimation problem for finite-alphabet hidden Markov models.

Description

Keywords

Duality relationship, Radon-nikodym derivative, Regular conditional probability measure, Regular conditional relative entropy, Sub-sigma-algebra

Citation

URI

https://hdl.handle.net/1885/733812404

Collections

ANU Research Publications

Source

Type

Conference paper

Book Title

Proceedings of the 16th IFAC World Congress, IFAC 2005

Entity type

Publication

Access Statement

License Rights

DOI

10.3182/20050703-6-cz-1902.00394

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