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Online EM algorithm for jump Markov systems
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
2012 (English)In: 15th International Conference on Information Fusion (FUSION), 2012, 2012, 1941-1946 p.Conference paper, Published paper (Refereed)
Abstract [en]

The Expectation-Maximization (EM) algorithm in combination with particle filters is a powerful tool that can solve very complex problems, such as parameter estimation in general nonlinear non-Gaussian state space models. We here apply the recently proposed online EM algorithm to parameter estimation in jump Markov models, that contain both continuous and discrete states. In particular, we focus on estimating process and measurement noise distributions being modeled as mixtures of members from the exponential family.

Place, publisher, year, edition, pages
2012. 1941-1946 p.
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-121625ISBN: 978-1-4673-0417-7 (print)ISBN: 978-0-9824438-4-2 (print)OAI: oai:DiVA.org:liu-121625DiVA: diva2:857375
Conference
15th International Conference on Information Fusion (FUSION), Singapore, July 9-12 2012
Funder
Linnaeus research environment CADICS
Available from: 2015-09-28 Created: 2015-09-28 Last updated: 2015-11-19Bibliographically approved

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fulltext(291 kB)108 downloads
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Fritsche, CarstenÖzkan, EmreGustafsson, Fredrik

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CiteExportLink to record
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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
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