Title :
The Kullback-Leibler information divergence for continuous time systems using white noise theory
Author_Institution :
Dept. of Electr. Eng., Alabama Univ., Tuscaloosa, AL, USA
Abstract :
We derive an expression for the Kullback-Leibler information divergence (KLID) for outputs of continuous time stochastic linear systems using finitely additive white noise theory. We consider primarily the finite time horizon case, but present a steady state result that is convenient for computations
Keywords :
continuous time systems; linear systems; stochastic processes; white noise; Kullback-Leibler information divergence; continuous time stochastic linear systems; continuous time systems; finite time horizon case; steady state result; white noise theory; Additive white noise; Continuous time systems; Extraterrestrial measurements; Hilbert space; Indium tin oxide; Noise measurement; Q measurement; Random variables; Stochastic systems; White noise;
Conference_Titel :
Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
Conference_Location :
Phoenix, AZ
Print_ISBN :
0-7803-5250-5
DOI :
10.1109/CDC.1999.830913
