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BSU bulletin. Mathematics, Informatics

Bibliographic description:
Tyrsin A. N.
,
Gevorgyan G. G.
VECTOR ENTROPY MONITORING AND CONTROL OF GAUSSIAN STOCHASTIC SYSTEMS // BSU bulletin. Mathematics, Informatics. - 2018. №1. . - С. 19-33.
Title:
VECTOR ENTROPY MONITORING AND CONTROL OF GAUSSIAN STOCHASTIC SYSTEMS
Financing:
Работа выполнена при финансовой поддержке гранта РФФИ, проект № 17-01-00315а
Codes:
DOI: 10.18101/2304-5728-2018-1-19-33UDK: 519.87:519.722:519.213.1
Annotation:
The article deals with the vector approach of entropy monitoring and con- trol. It is the representation of differential entropy of a multidimensional sto- chastic system as a two-dimensional vector, the components of which are the entropies of randomness and self-organization. The system state is evaluated simultaneously with these two components. Vector control enables efficient entropy change as a two-dimensional vector, the components of which are the entropies of randomness and self-organization. We have formulated an optimi- zation extremum problem for the important case of Gaussian stochastic sys- tems. This problem can be solved by penalty function methods. It is shown that in a number of cases vector entropy control has advantages in comparison with scalar control. We give the examples of entropy monitoring and control for real stochastic systems.
Keywords:
differential entropy; model; multidimensional random variable; Gaussian stochastic system; covariance matrix; monitoring; control; random- ness; self-organization.
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