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Estimating State-Space Models in Innovations Form using the Expectation Maximisation Algorithm
University of Newcastle, Australia.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
University of Newcastle, Australia.
2011 (English)Report (Other academic)
Abstract [en]

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
Linköping: Linköping University Electronic Press, 2011. , 8 p.
LiTH-ISY-R, ISSN 1400-3902 ; 3002
Keyword [en]
Maximum likelihood, System identification, Expectation maximisation, Innovation model
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-97947ISRN: LiTH-ISY-R-3002OAI: diva2:650752
Swedish Research CouncilSwedish Foundation for Strategic Research
Available from: 2013-09-23 Created: 2013-09-23 Last updated: 2014-10-08Bibliographically approved

Open Access in DiVA

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