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arXiv 1909.10673stat.MLcs.LGmath.STstat.TH
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状态估计与推断的不确定变量理论

A Theory of Uncertainty Variables for State Estimation and Inference

Massachusetts Institute of Technology(麻省理工学院)

Rajat Talak, Sertac Karaman, Eytan Modiano

摘要:

我们开发了一个新的框架的不确定性变量模型的不确定性。一个不确定性变量的特征在于一个不确定性集合,它的实现必然位于其中,而条件不确定性的特征在于一个集合映射,从一个变量的给定实现到另一个变量的一组可能实现。我们证明了贝叶斯定律和不确定性变量的全概率等价定律。我们定义了一个概念的独立性,条件独立性,成对独立的不确定性变量的集合,并表明,这种新的概念的独立性保留了独立定义的随机变量的属性。然后,我们开发了一个图形化的模型,即贝叶斯不确定性网络,贝叶斯网络等价定义的不确定性变量的集合,并表明,所有的自然条件独立性,预期的贝叶斯网络,持有贝叶斯不确定性网络。我们还定义了点估计的概念,并说明了它与最大后验估计的关系。概率论以一个分布函数(相当于一个概率测度)作为基元,并在其上建立所有其他有用的概念,如全概率定律、贝叶斯定律、独立性、图形模型、点估计等。我们的工作表明,完全可以从一个集合而不是一个分布函数开始,并保留状态估计和推理所需的所有有用的思想。

英文摘要:

We develop a new framework of uncertainty variables to model uncertainty. An uncertainty variable is characterized by an uncertainty set, in which its realization is bound to lie, while the conditional uncertainty is characterized by a set map, from a given realization of a variable to a set of possible realizations of another variable. We prove Bayes' law and the law of total probability equivalents for uncertainty variables. We define a notion of independence, conditional independence, and pairwise independence for a collection of uncertainty variables, and show that this new notion of independence preserves the properties of independence defined over random variables. We then develop a graphical model, namely Bayesian uncertainty network, a Bayesian network equivalent defined over a collection of uncertainty variables, and show that all the natural conditional independence properties, expected out of a Bayesian network, hold for the Bayesian uncertainty network. We also define the notion of point estimate, and show its relation with the maximum a posteriori estimate. Probability theory starts with a distribution function (equivalently a probability measure) as a primitive and builds all other useful concepts, such as law of total probability, Bayes' law, independence, graphical models, point estimate, on it. Our work shows that it is perfectly possible to start with a set, instead of a distribution function, and retain all the useful ideas needed for state estimation and inference.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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