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Alternative EM Algorithms for Nonlinear State-space Models
Univ Oxford, England.
KTH Royal Inst Technol, Sweden.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
KTH Royal Inst Technol, Sweden.
2018 (English)In: 2018 21ST INTERNATIONAL CONFERENCE ON INFORMATION FUSION (FUSION), IEEE , 2018, p. 1260-1267Conference paper, Published paper (Refereed)
Abstract [en]

The expectation-maximization algorithm is a commonly employed tool for system identification. However, for a large set of state-space models, the maximization step cannot be solved analytically. In these situations, a natural remedy is to make use of the expectation-maximization gradient algorithm, i.e., to replace the maximization step by a single iteration of Newtons method. We propose alternative expectation-maximization algorithms that replace the maximization step with a single iteration of some other well-known optimization method. These algorithms parallel the expectation-maximization gradient algorithm while relaxing the assumption of a concave objective function. The benefit of the proposed expectation-maximization algorithms is demonstrated with examples based on standard observation models in tracking and localization.

Place, publisher, year, edition, pages
IEEE , 2018. p. 1260-1267
Keywords [en]
Expectation-maximization; system identification; the Gauss-Newton method; Levenberg-Marquardt; trust region
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-162573DOI: 10.23919/ICIF.2018.8455234ISI: 000495071900172ISBN: 978-0-9964-5276-2 (electronic)OAI: oai:DiVA.org:liu-162573DiVA, id: diva2:1376207
Conference
21st International Conference on Information Fusion (FUSION)
Note

Funding Agencies|Swedish Foundation for Strategic Research (SSF) via the project ASSEMBLE

Available from: 2019-12-09 Created: 2019-12-09 Last updated: 2019-12-09

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • 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
  • rtf