Estimating State-Space Models in Innovations Form using the Expectation Maximisation Algorithm
2010 (English)In: Proceedings of the 49th IEEE Conference on Decision and Control, 2010, 5524-5529 p.Conference paper (Refereed)
The expectation maximisation (EM) algorithm has proven to be effective for a range of identification problems. Unfortunately, the way in which the EM algorithm has previously been applied has proven unsuitable for the commonly employed innovations form model structure. This paper addresses this problem, and presents a previously unexamined method of EM algorithm employment. The results are profiled, which indicate that a hybrid EM/gradient-search technique may in some cases outperform either a pure EM or a pure gradient-based search approach.
Place, publisher, year, edition, pages
2010. 5524-5529 p.
Maximum likelihood, System identification, Expectation maximisation, Innovation model
IdentifiersURN: urn:nbn:se:liu:diva-63595DOI: 10.1109/CDC.2010.5717145ISBN: 978-1-4244-7745-6OAI: oai:DiVA.org:liu-63595DiVA: diva2:380830
49th IEEE Conference on Decision and Control, Atlanta, GA, USA, 15-17 December, 2010
FunderSwedish Research CouncilSwedish Foundation for Strategic Research