On a general concept of forgetting

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Abstract
Practice leads us to seek a simple method which would make parameter estimation (and subsequent control or signal processing) reliably adaptive. Unfortunately, in most applications we lack sufficient information to specify a complete model of parameter variations. In other words, the problem is ‘under-determined’ which prevents us from employing standard equations of probability calculus. In this paper we apply known principles of rational behaviour in such situations to propose a plausible and well justified solution. The result we get is close to classical exponential forgetting, but regularized by available prior information. We demonstrate the practical implications of this feature.

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