The kullback-leibler rate metric for comparing dynamical systems

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This paper is concerned with information theoretic "metrics" for comparing two dynamical systems. Following the recent work of Tryphon Georgiou [1], we outline a prediction (filtering) based approach to do so. Central to the considerations of this paper is the notion of uncertainty. In particular, we compare systems in terms of additional uncertainty that results for the prediction problem with an incorrect choice of the model. While [1] used variance of the prediction error, we quantify the extra uncertainty in terms of the Kullback-Leibler divergence rate. This metric is closely related to the classical Bode formula in control theory and we provide detailed comparison to the variance based metric.

Original languageEnglish (US)
Title of host publicationProceedings of the 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009
Pages8363-8368
Number of pages6
DOIs
StatePublished - Dec 1 2009
Event48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009 - Shanghai, China
Duration: Dec 15 2009Dec 18 2009

Publication series

NameProceedings of the IEEE Conference on Decision and Control
ISSN (Print)0191-2216

Other

Other48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009
CountryChina
CityShanghai
Period12/15/0912/18/09

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

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