Maximum likelihood parameter estimation from incomplete data via the sensitivity equations: the continuous-time case

Charalambous, Charalambos D.; Logothetis, A.

doi:10.1109/9.855553

dc.contributor.author	Charalambous, Charalambos D.	en
dc.contributor.author	Logothetis, A.	en
dc.creator	Charalambous, Charalambos D.	en
dc.creator	Logothetis, A.	en
dc.date.accessioned	2019-04-08T07:45:17Z
dc.date.available	2019-04-08T07:45:17Z
dc.date.issued	2000
dc.identifier.uri	http://gnosis.library.ucy.ac.cy/handle/7/43103
dc.description.abstract	This paper is concerned with maximum likelihood (ML) parameter estimation of continuous-time nonlinear partially observed stochastic systems, via the expectation maximization (EM) algorithm. It is shown that the EM algorithm can be executed efficiently, provided the unnormalized conditional density of nonlinear filtering is either explicitly solvable or numerically implemented. The methodology exploits the relationships between incomplete and complete data, log-likelihood and its gradient.	en
dc.source	IEEE Transactions on Automatic Control	en
dc.source.uri	https://www.scopus.com/inward/record.uri?eid=2-s2.0-0034187409&doi=10.1109%2f9.855553&partnerID=40&md5=15e8558d860cb551a140ae9cc800bd49
dc.subject	Problem solving	en
dc.subject	Maximum likelihood estimation	en
dc.subject	Algorithms	en
dc.subject	Markov processes	en
dc.subject	Nonlinear filtering	en
dc.subject	Parameter estimation	en
dc.subject	Continuous time stochastic systems	en
dc.subject	Expectation maximization algorithm	en
dc.subject	Numerical methods	en
dc.subject	Sampled data control systems	en
dc.subject	Sensitivity equations	en
dc.title	Maximum likelihood parameter estimation from incomplete data via the sensitivity equations: the continuous-time case	en
dc.type	info:eu-repo/semantics/article
dc.identifier.doi	10.1109/9.855553
dc.description.volume	45
dc.description.issue	5
dc.description.startingpage	928
dc.description.endingpage	934
dc.author.faculty	Πολυτεχνική Σχολή / Faculty of Engineering
dc.author.department	Τμήμα Ηλεκτρολόγων Μηχανικών και Μηχανικών Υπολογιστών / Department of Electrical and Computer Engineering
dc.type.uhtype	Article	en
dc.source.abbreviation	IEEE Trans Autom Control	en
dc.contributor.orcid	Charalambous, Charalambos D. [0000-0002-2168-0231]
dc.gnosis.orcid	0000-0002-2168-0231

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Τμήμα Ηλεκτρολόγων Μηχανικών και Μηχανικών Υπολογιστών / Department of Electrical and Computer Engineering [2897]

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