Connections between incremental and continuous-time EM algorithm for state space identification

Title: Connections between incremental and continuous-time EM algorithm for state space identification
Creator: Yuz, Juan I.; Agüero, Juan C.; Goodwin, Graham C.; Alfaro, Jared A.
Relation: 16th IFAC Symposium on System Identification (SYSID 2012). Proceedings of the 16th IFAC Symposium on System Identification (SYSID 2012) (Brussels, Belgium 11-13 July, 2012) p. 834-839
Publisher Link: http://dx.doi.org/10.3182/20120711-3-BE-2027.00291
Publisher: IFAC
Resource Type: conference paper
Date: 2012
Description: The EM algorithm has been successfully applied to obtain maximum likelihood estimates for state-space models. The usual formulation of the algorithm is based on a shift operator model for the discrete-time (or sampled-data) system. More recently, it has been shown that an equivalent formulation of the algorithm in terms of incremental discrete-time models shows better numerical properties, in particular, for fast sampling rates. In this paper we explore the correspondence between the parameter estimates given by the EM algorithm applied to incremental models and those corresponding to a pure continuous-time formulation.
Subject: continuous time system estimation; maximum likelihoods methods; multivariate system identification
Identifier: http://hdl.handle.net/1959.13/1309190
Identifier: uon:21798
Identifier: ISBN:9783902823069
Language: eng
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